I use an STLink to connect to the Daisy, and VSCode to debug. I followed the instructions here: Daisy Forum - HowTo: VS Code debugging with St-Link JTAG .
I use an STLink V2 , and a ARM-JTAG-20-10 cable converter. Pop the cover off the connection on the Daisy. Make sure the connector is in the right orientation (white mark on Daisy and red cable should be next to eachother).
The ST Link does not power the Daisy, so the USB cable also needs to be connected.
Remember to build in Debug mode, otherwise you will be debugging the optimised version of the code (doable but more painful). Debug needs to be set in each Makefile separatly.