You can attach to the process once it has started (Debug Menu - Attach to Process), but for some service related tasks blocking the process with a break point introduces timing delays that can cause the service to operate incorrectly or fail completely. The best way is to use a logging tool.
One logging tool I have used in the past is Log4Net.
I am already using the Event log to display messages as you suggested. You see I am using a Windows Service to expose a Web Serrvice call, so (and i hope i am explain this correcty) I have a front end (a consuming application)that for example that has some button click event when I click it and debug the application ands then try and step in to the debugging process - the problem is the when I hit F11 and try step into the whole process I get an error that says: "...debugging has not been enabled on server". I have google a lot on this and some say that in the app config file of the service I should include the "debugging = true" - well that hasn't work.
I cant find a lot of posting where folks have done what I am trying to achieve but then again a challenge is always fun!
So any advice and tips on this whould be real great!