yes I've debgged on device successfully many times.
In the JDWP prompt, on communication tab, select 'attach to' appropriate port.
Just load the cod files in device as usual... and connect debugger, it'll conect to device..
i never faced any issues with this...
Here's an article from knowledge center for device debugging
Livelink - Redirection
This describes with JDE... i use eclipse to do this though (using ant script on eclipse)