The solution built by the Guidance Package toolkit doesn't let you debug your package easily. First, check out my other post about "Making buiding faster". If you do what I say in that post, you will have the single package project in your solution. If you don't then you have to make just make the package project the Startup Project. Make sure your in "Debug" not "Release" mode. Go to Properties and pick the Debug tab on the left. Change the Start Action to "Start external program" and enter in the path to your devenv.exe. Mine is:
   C:\Program Files\Microsoft Visual Studio 8\Common7\IDE\devenv.exe

Now put some breakpoints in and hit F5. Visual Studio should pop up. Create or select a project/solution that you want to use your Guidance Package with. Make sure project/solution actually loads your package. From then on, you can step through your actions, custom wizard pages, editor, etc.

Work smarter not harder!

Yup, that's exactly what you have to do to debug your packages (in fact, any other feature that you're coding for use within VS, including custom designers, control designers, add-ins, etc.).