For SQL Procedures, you have to 'Build for Debug' when creating the stored procs from Development Centre or Developer Workbench. (
AFAIK, you cannot do this on command line)
Then 'Run for Debug' and step through the code. Developer workbench has more options for debug than its predecessor.
Open the tool you are using and explore the tool bar .. You should be able to figure out quiet easily ..
Cheers
Sathyaram