If you use a pre-1.0.8 SBCL with CVS SLIME, it won't work.
When I'm trying to debug functions, I often add (declare (optimize (debug 3))) to the top and then use "v" in sldb to jump directly to the location of the error in the source. Then I take out the declare bit after I'm done troubleshooting.
To automate this, I added an option to compilation that uses the new experimental SB-EXT:RESTRICT-COMPILER-POLICY function to compile with maximum debug. That is, C-u C-c C-c will recompile individual forms at debug 3. You don't have to manually add and remove it, and you don't have to run your whole system with elevated debug.
It only works on SBCL 1.0.8 and newer, though. I think it'd be handy for all backends, but I don't know how to add it.