As a starting point, I'd be tempted to add tracing log messages at strategic points within your application. This will allow you to analyse how your threads are interacting with no danger that the act of observing the threads will change their behaviour (as could be the case with step-by-step debugging).
My experience is with the .NET platform and my favoured logging tool would be log4net since it's free, has extensive configuration options and, if you're sensible in how you implement your logging, it won't noticeably hinder your application's performance. Alternatively, there is .NET's built in Debug (or Trace) class in the System.Diagnostics namespace.
