I solved this already, I'm just posting it here because I couldn't figure it out with google, or by reading the docs. I only found it by accident.
To add a breakpoint, right-click on the line that you want to add a breakpoint on and select "Set Breakpoint". The line will become highlighted. (Note that this only works when you are editing a file; it does not work at the interpreter.)
This site has a detailed tutorial about using the IDLE debugger.
On Mac, you need to Control-click instead of right clicking.
Completing the answer supplied by the OP: after setting the breakpoint - you must turn on IDLE Shell's debug mode (using debug --> debugger). When you run the program, press "Go" in the debug window that opens up and IDLE will stop at the breakpoint.
IDLE Shell is the window that appears when you hit F5 to run your Python script.