Well the answer was sitting right in front of me the whole time.
In SQL Server Management Studio 2008 there is a Debug button in the toolbar. Set a break point in a query window to step through.
I dismissed this functionality at the beginning because I didn't think of stepping INTO the stored procedure, which you can do with ease.
SSMS basically does what FinnNK mentioned with the MSDN walkthrough but automatically.
So easy! Thanks for your help FinnNK.
Edit: I should add a step in there to find the stored procedure call with parameters I used SQL Profiler on my database.