I have several of these in my code which have been working fine so far:
#If DEBUG Then
... some code here
#End If
Now, i am
Under Project Properties / Compile / Advanced Compile Options there is a checkbox called "Define Debug Constant" that sets this.
Check out: http://www.experts-exchange.com/Programming/Languages/Visual_Basic/Q_24658238.html
EDIT: Try this initializing with this:
#If CONFIG = "Debug" Then
#CONST DEBUG = true
#if CONFIG = "Release" Then
#CONST DEBUG = false