Kevin,
I think it depends on the module project. Like you mentioned, the Events module is an older one written in Visual Basic. I would probably create a new C# module project using the DNN7 DAL template and start porting the business logic, data layer, and views one at a time. For other modules, that may not be necessary - you can just start working with the project that you get from codeplex or github.
For older projects that may not have the msbuild packaging process that automatically builds the install package zip, you may need to build it manually. There is nothing magical about this process. You can just look at how the previous installer zip was built and just replace files in it with your new ones.
As far as debugging, once you get the project building in DEBUG mode properly, you would attach to the DNN worker process like I have taught in many of my videos.
Aderson mentioned about a future training video concept for taking a few of the most popular forge modules and getting the source projects building in Visual Studio. That is a great idea. We'll keep you posted.