Hi,
The easiest way to do this would be using the Quick Debug feature (see this tutorial). If you are building the code on Windows via a cross-toolchain, ensure you select it in the Quick Debug window and VisualGDB will locate the source files correctly.
A more long-term solution would be to import your existing build into VisualGDB using the Import mode of the Linux Project Wizard. Simply select “Import project built with other tools” and manually point VisualGDB to the final executable (e.g. Unreal exe). If you don’t want VisualGDB to control the build, simply specify a dummy build command line in the wizard (e.g. “echo done”) . Once the project is created, select “Attach to process” in the Debug Settings page of VisualGDB Project Properties and disable automatic deployment via the first page of VisualGDB Project Properties.
Next time you debug the project, VisualGDB will attach to the executable of your choice using the cross-toolchain specified in the project settings.
If this doesn’t work, please let us know and we will be happy to provide further help.