Debugging a simple executable on WinCE

Ok, very basic question:

How do I setup a debug application in Platform Builder? I know how to
setup drivers, for example, all I do is select BSP Wizard, and then add
new driver to the Platform, and then as long as I have a sources file
defined, all the source code will be included in the component for WinCE.
Do I need to do something similar for a debug executable, so that I have
the source code available on the WinCE device?

.

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