I figured it out using Visual Studio 12. For anyone else looking to do this, here is what I did. I'm guessing it is something similar with other IDEs or on other platforms.
1.) Get the Python Tools for Visual Studio https://pytools.codeplex.com/
2.) Get the pdbs for Python for mixed mode debugging. I'm using NX10 which currently uses Python 3.3.2 64 bit. https://pytools.codeplex.com/wikipage?title=Symbol
3.) Follow the instructions in the above link on setting up the symbols.
4.) Run NX.
5. In VS, click "Attach to Process" and select "Native code" and "Python code". Then select the ugraf.exe process
5.) Run your python code in NX.VS should stop at any breakpoints you set.
Note that if you get the wrong PDBs or don't set the path right in VS, I either got an error or a message in VS saying PDB not loaded.
If you are reading this in the future (I hope NX19 is really cool!), you can get the exact Python version being used by NX by clicking the "Developer" tab, then Edit and pasting the following code, then checking the NX log (File/Help/Log File)
print (sys.version) #parentheses necessary in python 3.
Python(stdout): 3.3.2 (v3.3.2:d047928ae3f6, May 16 2013, 00:06:53) [MSC v.1600 64 bit (AMD64)]