If you want to debug a build workflow you have a couple of options.
If you want to remotely debug, i.e. you want to run the build on a build agent but run VS with your xaml and custom activity code on your desktop then you need to use the remote debugger and attach to the TFSBuildServiceHost.exe process. It can be a bit of a pain as you will need to put the debug version and pdb files of any custom assemblies you've got.
You could also install the TFS build agent on your desktop and attach it to your controller (if you have permissions) you can then debug locally the same way you would any other .net project.
Or run up VS on the build agent itself and debug from there.
I've done all of these, running VS on the build agent is easiest, but I must admin I've only really been able to step though the code in the custom assemblies. I've never managed to get the debugger to his a breakpoint in the XAML itself.