I have checked most (if not all) of the related FAQ and posts. It seems that none is simpler than the following way:

1/ Put your trace statements in your PosSizer code, e.g.:

CODE:
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You might want to check out the documentation of System.Diagnostics.Trace. There are a variety of tools.

2/ Download DebugView from System Internals:
http://technet.microsoft.com/en-us/sysinternals/bb896647.aspx
It is a zip file that contains an executable. Open it and extract DbgView.exe
Run the exe and then in Wealth-lab execute a strategy with your custom sizer that has trace statements.

Voilà.

There is no need to set up remote debugging whatsoever.

Right, #1 is the simplest. We advice to do the same in this FAQ: Is it possible to use PrintDebug in a PosSizer?