Other than indenting your code in a way that makes it easier to parse for you (like keeping one call per line), I'm afraid there's not much else you can do.
As far as debugging is concerned, if it's a third party library I don't really see the problem, as it's going to be a black box for you. With proper indentation, the debugger will highlight one line at a time (with the obvious exception of long lambdas in things like LINQ's
If it's a library that you wrote, remember what Brian Kernighan said:
Everyone knows that debugging is twice as hard as writing a program in the first place. So if you're as clever as you can be when you write it, how will you ever debug it?
If your code is simple, stepping through a fluent API is really no different than debugging any old method (which a fluent API itself is in many cases entirely made of).
Me, I love a well-designed fluent API, so much so that I would probably have to look up LINQ's query syntax, as I very much prefer the method one.
Are there specific things you're having troubles with?