To use the jdwp debugger, just invoke the "debugproxy" target in the samples or org.lejos.example project. This will automatically build the program, upload and run it, and start the debug proxy. When you see the line "listening on <some adress>", you start the debugger frontend.
In eclipse, this is done by opening the "Debug Configurations" dialog found in the "Run" menu. Select the "Remote Java Application" type, create a new configuration, and write the address into the text field. Then you press debug, and everything else will work like debugging any other Java application.
This is just the guide for eclipse. I don't use any other debuggers, so if you do, please tell us how to connect to a remote java application in your environment.
I can't guarantee for 100% stability. Timing issues can occur while debugging, as the debugger runs on the same processor as the main program. Using an USB connection is currently not working, so make shure you have a bluetooth adapter.