You'll want to go with BDM, because it's gives better control of the processor, offers you more details of the processor's state, and is less obtrusive when you're running the program under debugger control. Again, the board ought to have with come with a CD or manual that describes the various settings, but more importantly, how to interface the board to the system and the CodeWarrior debugger settings.
Having said that, are you using the board as stand-alone, or are you plugging it into a Freescale project board (PBMCUSLK)? If the latter, then you can just connect the PC to the project board with a USB cable and it handles the BDM communications for you. If you're running the board as stand-alone, you'll need a cable that connects from the PC to the BDM port on the board.
Here's a
link to one of the HCS12C student learning kit pages. There's a Quick Start Guide and User Guide on it that might be of help.
---Tom