Class library are a bit harder to debug compared to dialog based or command line based application. After deciding to use NUnit I was using a dialog based application to instentiate my class library debugging, however there is a much easier way of doing that
1) Create class library with unit tests
2) Take properties of the class project in visual studio, and select the debug tab. properties -> debug
3) Set Start external program to C:\Program Files\NUnit 2.4.1\bin\nunit.exe or whereever you nunit executable is placed.
4) Set the test library as startup project.
5) Start debugging the project, it will bring up the nunit test application, if there are breakpoints in the application it will break into it.