If your control is beneath the Web folder, just set a break point and it will work. If its in a separate project, you use post build events to copy the needed dlls to the Web/bin folder and copy your .ascx to a folder beneath Web.. Just set a breakpoint and it works, nothing complicated about it.
I can easily debug all of the things in the mojoPortal.Features.UI project, but mojoPortal.Web must be the startup project and it works because the output from mojoPortal.Features.UI is copied up beneath the Web folder and dlls go into the bin. It just works.
Hope it helps,
Joe