To debug SSRS data providers, just make sure:

1) Your AOS user running the service is inside MIcrosoft Dynamics AX Debugging user group
2) Your AOS server setup allows debugging on server and global breakpoints
3) Your AX Client is setup to allow breakpoints
4) Your AX Debugger is open
5) If you changed the DP class and in the debugger you can't see the changes, make sure you recompile CIL incremental

With these 5 steps you will make sure the application will stop when you create a breakpoint =)

Cya next time