How could I debug my COBOL programs with TinyCOBOL?

To debug a COBOL program generated by TinyCOBOL, you will need of use the switch "-g" during the compilation and after, use gdb to debug the program.

htcobol -g programname.cob
gdb programname

How could I use GDB?

In first hand, you should learn GDB. Does exist a lot of tutorials and books in the internet.

BTW, It's not so hard to learn:

Run GDB with the command "gdb".
Type "file" to open the binary file generated by TinyCOBOL.
Type "list" to gdb provide for you a list of your COBOL program.
Type "next" or "n" to go for the next lines of the program.
To create breakpoints, type "b (n)", where (n) is the line number. To run into the cursor, type "run" or "r"
To see the program variables, type "print variable-name", where variable-name is the name of variable.