I have it set up to build in both VS and Eclipse.
Build in VS for day to day development and testing as a win32 application.
Build in Eclipse every so often to test with my SGS2 and whatever emulator setups I have.
Hopefully there shouldn’t be too much debugging required in android as the Java code is just boiler plate and generated by the create-android-project script. All the game logic should be in C++ which can be more easily debugged in VS.
I found this article really helpful for getting the project set up. http://www.raywenderlich.com/11283/cocos2d-x-for-ios-and-android-getting-startedIt talks about being able to debug in Eclipse but I ignored that section in favour of VS. One of the reasons I am not doing my dev in Eclipse is because there is no autocomplete functionality.
Please note that I am only getting started with Cocos2dx myself and am no authority on the subject, this is just the path I’ve taken. If you have any issues getting the hybrid win32/android working then I’ll try to help.