This is a 'blast from the past' :lol:
Lets build a full blown microprocessor system back from the 70's, EPROM, static RAM, data and address latches, I/O chips, writing a monitor program so it can do something - BIG job!.
What are you actually trying to achieve?, for most applications a simple single chip micro-controller would probably outperform your 8086, and all in a single chip - rather than the 20-30 chips you may well be looking at?.
As Exo pointed out, your debug experience won't help a great deal, as you don't have the BIOS available. If you want to play with 8086, why not use an old PC mother board? - I've thrown loads of XT and AT boards away!.