I solved this already, I'm just posting it here because I couldn't figure it out with google, or by reading the docs. I only found it by accident.
To add a breakpoint, right-click on the line that you want to add a breakpoint on and select "Set Breakpoint". The line will become highlighted. (Note that this only works when you are editing a file; it does not work at the interpreter.)
This site has a detailed tutorial about using the IDLE debugger.
On Mac, you need to Control-click instead of right clicking.