In Android Studio (I’m currently using I/O Preview 0.2.10) simply click on the icon in the toolbar that looks like a phone with a bug over it – the hover text says: Attach debugger to Android process. It’s the third icon along:
A list will then appear showing your processes that you can debug. Choose one and select OK – your application is now being debugged!
Note: Make sure your app is debuggable, as shown here.