Andy,

I am currently looking into developing a custom plugin (cache) plugin
for WMS too.
I am a complete C# .NET newbie myself too so I was stuck with exactly
the same question.

Since WMS plugins are no console application they need a different
debug approach.
In the 'Debug'  menu you can choose to 'Attach to process', select
managed code and select wmserver.exe.
This will show all the debug messages after enabling the plugin. This
way you can not see the debug messages when the plugin initializes
because at that stage there is no wmserver.exe process to attach to...

I would recommend not using the Visual Studio Express edition since it
does not have the 'attach to process' option.

Ofcourse you could always write your own logging object which appends
any debug message to your own logfile.

Any words from 'the experts' on how to test/debug a WMS custom plugin
would be very much appreciated.

For instance, throughout the sample code (cache proxy) there are
status messages written using Console.WriteLine.
Any easy way to view those when running the plugin?