This works great in visual studio 2010 and earlier, I never had any issue of any type.
This doesn't works anymore in visual studio 2012: the debugger doesn't stops, breakpoints are simply ignored.
Solution #2: Make your external app the "Start up project". In Visual Studio, File -> Open -> Project, and select your Delphi app. You have just created a new solution with the delphi binaries as the startup project. If you go to the project properties, you can change the "Debugger Type" from 'Auto' to 'Managed (v3.5, v3.0, v2.0)'. By doing this, you have told Visual Studio explicitly you want to use the debug engine for .Net 3.5 or prior. Now, the breakpoints in your class library code will hit, as long as you maintain having the external delphi app as your startup project and setting the Debugger Type explicitly to use .Net 3.5 or prior.