Add instructions to debug GMT when called in Julia, MEX and PyGMT

Also time for me to remind @joa-quim and @seisman about [Debugging](https://docs.generic-mapping-tools.org/dev/debug.html). It would be nice to have information there for how to debug GMT when called from Julia, MEX, and PyGMT, for 3 platforms. IF we want people to help find bugs then we need more people to actually step into the code. The biggest problem is setting up a working GUI debugging system. I can add stuff for debugging MEX on macos, for instance, but I do not know how for Julia and PyGMT. Since one uses Xcode on macOS I think it is possibly to do the same for Julia and Python but have not tried.

_Originally posted by @PaulWessel in https://github.com/GenericMappingTools/gmt/pull/3718#issuecomment-665842465_