Some time ago I did a post to show how to debug a Preference Pane with Xcode, but the tip was for Xcode 3, and now with Xcode 4 it has changed a bit.
But yesterday Scott Lahteine posted a comment to explain how to do it, so here is the new method for Xcode 4.

• In the product menu choose Edit Scheme...

• Go to the Run section and in the Executable field choose System Preferences.app

Now we need to edit some build settings for the debug configuration :

• Deployment Location (DEPLOYMENT_LOCATION) : Yes

• Installation Build Products Location (DSTROOT) : /

• Installation Directory (INSTALL_PATH) : $(USER_LIBRARY_DIR)/PreferencePanes

And we are done, you can again debug your pref pane with Xcode ;)

Thanks again to Scott Lahteine for the tip !

EDIT
As Justin Mecham mentioned :