Hey Fig,
So I'll walk you through the steps that work for me, and if it doesn't work for you or these are the steps you are already following, then we can continue debugging.
First step is to make sure your config file is setup correctly. In this, I'm debugging the Python BasicTemplateAlgorithm.

The next step is to do the ptvsd import and setup. The ptvsd.break_into_debugger() shouldn't be needed, although you can use it to break it. I just set a normal breakpoint where I want it to step into the debugger (line 41).

Next, you want to debug it without attaching it to a process yet. You can use Ctrl-F5, or go to Debug > Start Without Debugging. This will bring up this window.
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Once you see the line underlined in red, you want to hit Ctrl-Alt-P. This will bring up a window where you will attach to a process. Set the process to the following, hit enter, and then click Attach.

Once you hit Attach, this window will close and bring back up the console window. Lean will then continue to run until it hits the breakpoint or ptvsd.break_into_debugger() you set. After this, you can treat it like the normal VS debugger, although you won't be able to step into any code other than the file you're running, whereas using C# allows you to step into code in other files.

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Hopefully, this helps. If it doesn't work or this is what you were already doing without it working, let me know and we'll find another way.