In Delphi 7 you would do this:
Project | Options | Compiler | Debugging | Debug information (check)
Then go to Run | Parameters | Host Application and enter the name of your exe.
Add some breakpoints in your DLL code and then click run. Your exe will be loaded and you can debug the DLL parts in the Delphi IDE.
If your exe is already running, click Run | Attach to process
-- I've tested this and found that I also needed to check the "Include remote debug symbols" on the Linker page of project options in Delphi 7.
I was able to get a breakpoint to hit using the Run | Parameters as well as Run | Attach to process methods. The test DLL I had created had a single stdcall function and was dynamically loaded by a Visual C++ console application.