When debugging custom controls, you need to launch a second instance of Visual Studio by setting your project's debug properties to "start external program" and set the executable path to devenv.exe.
Then in the second instance of VS, open the project you're working on, and you will be able to debug the code triggered by the designer. In the 1st instance, set breakpoints in your custom control, and they will be hit when the 2nd instance calls up the Form.
Cheers