You are right, must serialize in burst mode. The ideal case is use a FT2232 at full speed, but I think is too expensive. They claims that the half CPLD capacity is free, ideal to find to implementate the SWD mode. Finally, the high TCK speed supported by the major devices is 4/6 MHz.
The MaxII dev board have a FT245 wired to the CPLD. I think that the entire project could be emulated using this board.
The main tip in this project is the move TAP state capability using 1 byte command. In the past, I've been working heavy using the Wiggler JTAG, and for move the TAP state I need 1 byte to high TCK, and another byte to down TCK. The Altera USB Blaster use the Wiggler method yet!!