How do I launch the debugger and set a breakpoint in a linqpad script?

I do this most days. The secret is:

Debugger.Launch();

When the Debugger.Launch() line is hit you will be prompted to choose an instance of Visual Studio, or to open a new instance.

If you find that the Debugger.Launch line does not launch a debugger

I had to toggle the "Compiler Optimizations" button (lower right)