Unclear from your first post if you want to debug a cooked packaged build or just running your game from the editor.
Easiest:
You can set a breakpoint and then hit play in VS with the DevelopmentEditor target selected… Once in editor you are debugging, you can just play in the editor and your breakpoints will work.
Harder: To debug and set breakpoints in engine code, you will need to have the debug symbols for the engine installed and run a DebugEditor target .
Harder still : To debug and test a packaged cooked game: Run your package game (which must have been built with symbols) then use VS to attach to the process. A new, community-hosted Unreal Engine Wiki - Announcements - Epic Developer Community Forums