Hi,
Since 8.6 is no longer supported, it would be recommended that you upgrade to Backup Exec 9.x first and then go about upgrading to 11d.
As far as upgrading from 9.x to 11d is concerned the Catalogs do get upgraded as well.
As mentioned earlier it would be a better option to save the "Data" and "Catalogs" folder to another partition.
Also read the upgrade section in the following FAQ document:
Backup Exec 11d for Windows Servers Frequently Asked Questions (FAQ)
http://support.veritas.com/docs/283427
Regards
Padmaja