Elroy, you can implement the IVBPrint interface in a class and create a predeclared instance of that one which wraps the OutputDebugString function. In this case you can use the code like cSomeClass.Print aa; b, qwq;;; etc. which is very similar to Debug.Print.
Alternatively, the immediate pane supports the IVBPrint interface and you can intercept and route the messages to file/pipe/etc.