Need:
Naomi motherboard
GD rom
Naomi dimm cartridge
cable to go between cartridge and gd rom
power supply with 3.3v powerful enough for motherboard and gdrom
input interface for naomi motherboard, either capcom or 2nd sega style for a jamma harness, or sega's 1st style if you just want to wire buttons and joysticks directly, plus cables to connect interface to naomi motherboard.
Last but not least, shiki II disk with security chip.
check
http://sega-naomi.com/ for a great forum regarding naomi stuff.
To talk you through it, you should just check all those parts or look at a pic of a naomi gdrom setup first. Some of that stuff can be spliced, some of it needs special cables. Basically, if you want it to be jamma compatible, you hook it all together, screw it to a board, and use the capcom interface. report back