You get PROGHCS08 with the Cyclone delivery, or alternatively you can download it for free from www.pemicro.com. If I remember correctly, I think they are also giving out their HC(S)08 debugger for free nowadays.
Re: PROGHCS08.... I don't think it's free - if it is then I can't find it on pemicro.com... They seem to want US$169.00 for it...
I've seen quite a few older posts from people saying it's free, so I suspect it may have been free in the past... All the HC08 software is free - but not the HCS08 software...