try this in serial 1
assign UART_TXD <= UART_RXD;
This shoud produce a loopback, and you should see what you type on hyperterm show up on the terminal. If you have the options set to see what you send, then the message will show up twice.
I'm doing the very same thing with my Xilinx board. You're a step ahead of me though. I'm not working on it because I've been doing my taxes, and today I have to take care of my overgrown lawn. Hope to get back to this in the next couple days.
BTW, I intend to use a verilog UART that I downloaded from opencores.org. I am planning on posting the results when I have some.