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I have rewritten the Docker based development environment to use the images provided by Docker4Drupal (https://github.com/wodby/docker4drupal). So some of the comments below become outdated. The comments about using symlinks or vfs are uninteresting, as the use of symlinks/vfs in that way are not the docker way.
VDD supports out of the box Xdebug working configuration. You can simply start your virtual environment, open your project with PhpStorm and start debugging.
Preparations
To make your debugging more comfortable you should install Xdebug helper extension in your browser. I'll use Google Chrome in this example.