I solved this already, I'm just posting it here because I couldn't figure it out with google, or by reading the docs. I only found it by accident.
To add a breakpoint, right-click on the line that you want to add a breakpoint on and select "Set Breakpoint". The line will become highlighted. (Note that this only works when you are editing a file; it does not work at the interpreter.)
This site has a detailed tutorial about using the IDLE debugger.
On Mac, you need to Control-click instead of right clicking.
There is an open Python issue about the lack of documentation for IDLE breakpoints. Contributions welcome!
Update: The on-line documentation and the IDLE help files (for 2.7.4, 3.2.4, and 3.3.0) have been updated, with Nick's help.
Completing the answer supplied by the OP: after setting the breakpoint - you must turn on IDLE's debug mode (using debug --> debugger). When you run the program, press "Go" in the debug window that opens up and IDLE will stop at the breakpoint.
You can set breakpoint before it is run.
- Set the breakpoint by right clicking on the relevant line of your program
- On your python shell, look for Debug - [Debug On] will be shown in your IDLE Python shell
- Go back to your program and press F5(hotkey) to run the program, it will stop in the relevant break line(s)
- If you want to look at some global variables or line of codes, you can check the box in the debugger
Just adding to this answer (would've commented but for the rules that say I don't have enough reputation to do so): On the Mac you must control-click. The normal "right-click" at least for the trackpad does not work to bring up the contextual menu with the option to set a breakpoint.