You can do debugging with the Final build option as well, you just will get less information out. Start Civ4 normally with the DLL you built then in your VS project under Debug choose Attach to Process. Breakpoints and stepping through the code work, you just won't get access to all the state variables without a debug build but I've found you get enough information usually. Also, if the game crashes, it will take you to the offending line (assuming that it's in the DLL, which isn't always the case) ... you may need to run Civ4 in windowed mode as opposed to full screen to be able to switch to VS and see the call stack.