According to Apple documentation on debugging Core Data it says we should be able to pass an argument to the application which will output the SQL core data sends to SQLite.
XCode 4 (final) seems to be inconsistent.
Using one argument works on the device, but fails in the simulator:
-com.apple.CoreData.SQLDebug 1
Using two arguments works on the device and in the simulator:
-com.apple.CoreData.SQLDebug
1