distutils will (now, after some changes in 3.5) build debug versions of packages on installation when running with python_d.exe. I haven't tested exactly how pip behaves here, but it should work fine if you run with a command line like this:

python_d.exe -m pip install --no-use-wheel --no-clean --build <build dir> <package>

I don't think pip will create a pip_d.exe, and it's likely that if a wheel is available it will grab that and you really need to build it locally. Using --no-clean and --build to specify where to build it will ensure that the symbols for the package aren't deleted, which may help with debugging, but if you don't care about that you can omit those two parameters.

I've also been experimenting with adding an option to download and install debug binaries as part of the installer, and it looks like it'll work fine. So that at least will make things simpler for developers. Another change for 3.5 that will also help is #22980 (though that one isn't quite settled yet and may change again).