Note: I'm trying something like this...

Have something similiar in .vscode/launch.json

{
    // Use IntelliSense to learn about possible Node.js debug attributes.
    // Hover to view descriptions of existing attributes.
    // For more information, visit: https://go.microsoft.com/fwlink/?linkid=830387
    "version": "0.2.0",
    "configurations": [{
         "type": "node",
         "request": "launch",
         "env": {
            "NODE_ENV": "development"                  
         },
         "name": "Launch Program",
         "program": "${workspaceRoot}/server.js",
         "cwd": "${workspaceRoot}"       
    }]
}

And hit f5, you can put breakpoint somehere to jsreport source and it should work.
Unfortunately you wan't be able to debug your helpers this way. There are many issues with it.
If this is what you want to reach, you need to stick with adding console.log to your helpers and run the templates with Debug button in studio to see the output.

Not likely relevant, but I have this in my user settings

// Place your settings in this file to overwrite the default settings
{
    "search.exclude": {      
        "**/node_modules": false
    },
    "eslint.autoFixOnSave": true,
    "files.autoSave": "onFocusChange",
    "terminal.integrated.shell.windows": "\\windows\\sysnative\\cmd.exe",
    "workbench.colorTheme": "One Monokai"
}

however i think that you can configure jsreport for instead of running the scripts in another process make them run in the same process, using this, VS Code should be able to detect your breakpoints because script will be running in the same process, to configure that behaviour add this to your jsreport config:

"tasks": {
   ...other options that might you have here..
    "strategy": "in-process",
    ...other options that might you have here..
  },

that change should be sufficient for when you need to debug something in helpers or tasks

https://nodejs.org/api/vm.html#vm_vm_runinnewcontext_code_sandbox_options

@rober I believe that the solution for you is

1. Change the strategy as @bjrmatos mentioned
2. Take the code you want to debug and put it into extra file myScript.js in your application directory
3. Allow requiring this file with additional config "scripts": { "allowedModules":"*" }
4. put this to your script

var path = require('path')
var myScript = require(path.join(__appDirectory, 'myScript.js'))
function beforeRender(req, res, done) {
  myScript(req, res, done)
}