Service Entry Point
The following is a tip declaring how to debug CGI (or any other ILE) Pgms via WDSC's SEP (Service Entry Point) functionality. After right clicking on the PGM to set a SEP, it will of course be added to the SEP view. But running the program doesn't cause debugging to happen at this point.
1. One possible reason being is because the debug isn't running under your iSeries profile (e.g. JSMITH) and is instead running under QTMHHTP1. Right click on the SEP in the SEP view that was just created and select Modify and change the user from JSMITH to QTMHHTP1. Now run the CGI program again and it SHOULD bring up the iSeries Debugger in WDSC. If it still does not, read items 2 and 3 below.
Here is a video tutorial: 
Although the above is absolutely correct, there is even an easier way to set the user profile right away: Instead of right clicking the program object, you can also right click the source. The difference is that you will see a prompt which allows you to modify the user profile (as well as program, module or procedure name, if they were different from the source member name you right clicked).
2. Another reason, why your debug session wouldn't start, could be if your user profile (i.e. the one you used in your iSeries connection - JSMITH here) neither has *ALLOBJ special authority nor *USE authortiy to the target *USRPRF object (QTMHHTP1 in this example)
3. Yet another reason, if you recompile your program, the SEP becomes invalid. But there is an easy solution: Select your SEP in the SEP view and click the "Refresh service entry points" button. Just don't forget about it.
NOTE: To use a SEP in V5R3 on another profile when you do not have *SERVICE special authority, you need to apply PTF SI28283. This allows you to set the SEP and debug any profile to which you have *USE, *CHANGE, or *ALL authority. (Superseding PTFs for V5R3 (SI28801) and V5R4 (SI28872) will check the specific data and object authorities to allow setting the SEP. Without V5R3 PTF SI28801 or V5R4 PTF SI28872, the SEP will fail if the authority is 'USER DEF'.