they should work. You might be stumbled across one of the following two points: when you change the class file, the file get's cleared. In this case the breakpoint get's removed. You can see this if you put a breakpoint and then enter
where myclass is the name of your class.
clears all classes (who would have guessed this ;-)), so the same as above happens. Apart from that, debugging (should) work just as for usual functions ...