Yes, you can debug on the device. Here are the steps:
1) if you haven't already, you must "provision" the phone, which allows it to run your software. The Apple developer site has all the information on how to do this.
2) with a provisioned iPhone connected to your Mac, select a "Device/Debug" option from the dropdown at the top of your development windows.
3) with a Device selected, when you build and run your app will be installed on your phone and will run there. All of the debugging happens just as it does in the simulator.
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