myproject->Build Option->Compiler Options->More Options works fine for me. As I mentioned earlier I have -ggdb there.
What do you mean under "doesn't seem to work"? If it not displaying in log, then go to Settings->Compiler->Other and select in "Compiler logging" "Full command line"
I do not known what type of debugging symbols CA expects. You have to read the manual, or something similiar, if included with CA at all, to figure out required format.
Second option is to bruteforce through all possisble formats, supported by gcc.
PS. I guess there is no problems with MSVCTK, and CA expects debugging info in former's format.