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:

• XNA Game Studio. On an attempt at installing the Windows Phone SDK, the user will receive error messages with regard to components of the XNA tool chain. These components will fail to install on Windows 8; the workaround for this has been blogged about by Aaron Stebner.
• Windows Phone Emulator. Windows 8 cannot currently run the Windows Phone emulator, which will make it very difficult to debug your code. There are two issues in addition to the simple fact that the emulator does not run on Windows 8, having to do with specific emulator functionality.
• .NET 3.5. Capability.exe and slsvcutil.exe will not run on Win 8 unless you separately install .NET 3.5.

Happy Coding! You can find my other Windows 8 Developer How To posts here.