I have managed to debug my Alchemy Controllers, as any other C# code extension, using Remote Debugging in Visual Studio.
First locate the Visual Studio version that you are using (including updates), corresponding to your development environment, and install the "Remote Tools For Visual Studio" in your Content Manager machine. Some configuration may be needed.
Then after installing the Alchemy plugin, the ".pdb" files must be placed with the ".dll". I have placed also the dll and the pdb file in the bin directory of "/Web/WebUI/WebRoot/bin", just in case.
Then in the Visual Studio Machine, select the remote machine, that must be accesible at the port configured (default 4018), attach to remote process "w3wp.exe", that corresponds to the IIS, put a breakpoint in your code, and "voila".
Hope it works for you.