In a normal application your own code (your java files) is mixed together with code of others (class files in libraries, runtime environment, etc.).
Each time you step into a class file you will get this "Source not found"-Warning. (as you already mentioned in your question)
At first you could try to get the source codes for the libraries and link them to your libraries (for example in "project setup => Preferences.../Java Build Path/Libraries => unfold a jar-libraries => Source attachment").
If no source code is available you have to use the debugger-comands to avoid jumping into that class files. "Step Out/Return" might help, but the "Debug View" (which can be found in the top left corner in your "Debug Perspective") could be even more helpful.
In the "Debug View" you can see each thread of your application. If you are currently debugging a thread you can there see the current stacktrace. Instead of clicking F6 and F7 all the time you can also navigate by clicking on an stacktrace-item there.
Tipp: I am using - (Rightclick->"run to line") a lot - this is quite helpful to run over loops, etc.