The problem with Eclipse is that every version stores the settings a little bit differently, so there is no consistent way of importing them automatically.
We have received a lot of feedback recently about debugging embedded projects built elsewhere and will be extending our Quick Debug feature with Embedded Quick Debug in the next version. Until then the suggested workaround is to import your projects.
We have added support for Embedded Quick Debug to the v5.1 branch of VisualGDB. You can now quickly debug arbitrary embedded code without creating a project for it.
You can try a pre-release build here: http://sysprogs.com/files/tmp/VisualGDB-5.1.0.579.msi
Note that it will upgrade the Quick Debug presets you open to a new format that won’t work with v5.0, so please make a backup of the %LOCALAPPDATA%\VisualGDB\QuickDebugPresets folder before trying it out.