You can download Windows 8 Consumer Preview and Visual Studio 11 (beta) here.
While you can download Windows Phone SDK and try to install it on Windows 8 Consumer Preview, you should be aware of three known incompatibility issues, as outlined in the post by the Windows Phone team. As noted in the post, there absolutely will be support for building Windows Phone applications with the next version of Visual Studio by the time it RTMs. Prior to that, per the first point above, the product team will be enabling the Windows Phone SDK 7.1 on Windows 8 in the coming months. Aaron Stebner provides a workaround for and explanation of the first issue in his blog post.
There are three issues with running the Windows Phone SDK on the Windows 8 Consumer Preview:
Happy Coding! You can find my other Windows 8 Developer How To posts here.