What you want to do is go to the process overview.
Transaction SM66 shows you all active processes of the current system. This is especially helpful if you have more than one application server.
SM50 will show you all processes of the current application server where you are logged on. To view the available application servers, go to SM51.
From the process overview (in SM66) you can click on the process and click the "Debugging" button.
Similarly, from SM50, you can choose Administration -> Program -> Debugging
from the menu to debug the program.
You can identify the process in which your program is executing from the detail on the item in the process overview.
Another thing you might want to do, if you are able to test your program with a limited set of data, is run it through runtime analysis (transaction SE30, or SAT in newer systems). This will allow you to identify bottlenecks in processing more easily.