It took more than just adding a build target named "Debug" at "Project => Properties => Build targets (tab)". There were additional steps.
Entries had to be made in these fields in the above tab for my Hello_World application:
Output filename: bin\Release\Hello_World.exe
Objects output dir: obj\Debug\
Every check box in "Build target files:" had to checked, which is most easily done using the "All/? on" button.
In "Project => Build options ... => Hello_World (tree) => Debug (tree) => Compiler settings (tab)"
These checkboxes had to be checked:
Debugging => Produce debugging symbols
Warnings => Enable all common compiler warnings (overrides many other settings)
In "Project => Build options ... => Hello_World (tree) => Debug (tree) => Linker settings (tab):"
Policy and Link libraries fields had to be configured identical to what they are for the Release build target.
In" Project => Build options ... => Hello_World (tree) => Debug (tree) =>Search directories (tab)" there are three sub tabs named Compiler, Linker, and Resource compiler. All these had to be configured the same as for the Release build target.