There are may be two possible reasons why you cannot debug loaded add-in:
1) Your build configuration doesn't generate the debug information. Navigate to Project->Properties->Build. Click "Advanced" button and make sure that the "Debug Info" option is set to 'full'
2) The add-in which is loaded in SolidWorks is not the one which are you trying to debug. When you are doing the debugging (especially switching between Release and Debug) it may happens that at some step the dll information is not properly cleared. So the dll loaded in SolidWorks is not the one you are debugging. To check this I usually add some message box somewhere in ConnectToSW function and see whether it is shown. The easiest way to fix this issue is remove the add-in key from the SolidWorks/AddIns registry and change the add-in's GUID.
Application Engineer at Intercad
Tel: +61 2 9454 4444