While it's useful to learn proper debugging sometime your approach is valid as well. By the looks of it you're using the optimal solution to your problem.
I prefer to code in Common Lisp on the REPL and do the same thing as you most of the time since each iteration step is so fast. (Change a function -> update it in the live running environment -> test ...)
More like a 17 year old too lazy to learn proper debugging, but yes - it works and I'm not surprised its got an official name. :D
Delphi takes it to a ridiculous level though. Often its faster to trial & error the exact syntax for a function than to look it up on the help.