Hope I'm not just rehashing something you've already looked over, but...
From
http://www.expresscomputeronline.com/20021118/techspace1.shtml :
Debugging a stored procedure
Here’s how you debug a stored procedure:
1. Right click on the SP in the Server explorer and choose “Step into ….†OR
2. If the SP is already being edited, right click in the editor and choose
“Step into …†option
3. You can view the locals immediately.
4. A yellow arrow appears on the left side of the next executable statement.
5. To continue further you choose Step into (F11) or Step over (F10) from
the Debug menu.
6. To add a variable to watch, drag it from the editor onto the watch window.
7. You can change the values in watch window, at runtime.
8. You can also set breakpoints before or during debugging.