There are two elements that you can debug: the Sound Engine plug-in (DSP part running in the game) and the Authoring plug-in (what runs in the Wwise Authoring application).
Since the Authoring plug-in also includes the Sound Engine part, I will explain how to set it up for the Authoring.
Setting the Right Configuration and Optimization Level
After you have run "wp.py premake Authoring", you should have the Visual Studio projects and solutions for Wwise Authoring. (refer to Using the Development Tools)
Open the solution ending in "_Authoring_Windows_vc1X0.sln" that corresponds to the Visual Studio studio version you want to use (vc140 = 2015, vc150 = 2017, vc160 = 2019).
Once in Visual Studio, select "Release" and "x64" as the target configuration. You cannot use the Debug target for Authoring as it expects to build against debug libraries, which you likely do not have access to.
Note how DebugExampleFX (the Sound Engine plug-in) has configuration "Profile" for Authoring: this is normal.
Because optimization can impact your capacity to debug, you can temporarily set the optimization level to /0d (disabled) while you develop for the Release configuration.
Simply Right-Click on the Visual Studio project you want to set, then "Properties" to access the Project Property Pages.
Under C/C++ > Optimization, set the Optimization Level to /0d (disabled).
If you build the Solution (Ctrl+Shift+B), the plug-in should be built inside the Wwise installation directory you used wp.py from (which should correspond to your WWISEROOT environment variable).
This will therefore put your plug-in under %WWISEROOT%/Authoring/x64/Release/bin/Plugins.
Attach to the running Process
To debug the plug-in when running inside Wwise Authoring, create a new project and add the plug-in somewhere, e.g., for an Effect add it in the Effects tab of a Sound SFX.
Then, set a breakpoint in Visual Studio in the Execute function of your plug-in (located in the <PluginName>FX.cpp file if you used the wp.py template).
Finally, select Debug > Attach to Process..., and find the Wwise.exe instance you want to debug. Once attached, play the Sound SFX and you should break inside Visual Studio!
To debug the Authoring part of the plug-in the process is exactly the same. You can also set the optimization level to /0d (disabled) for the Authoring project (the first in the solution explorer).