How to debug (line-by-line) Rcpp generated code in Windows?

Question

I am trying to debug Rcpp compiled code at run-time. I have been trying to get this to work unsuccessfully, for a very long time. A very similar question was as

Answer 1

It can be done with Visual Studio Code, since it can handle both R and C++. This allows you to step through your Rcpp code one line at a time in a GUI environment.

See this demo to get started.