which IDE do you have in mind ?
Eclipse or Netbeans. Eclipse 3.7.2 looks promising. It even managed to detect -I and -D compiler options in the wine makefiles.
I didn't work with Netbeans for long. The last time I had to manually set all the include directories and macros.
some IDE provide sufficient parametrisation of gdb launching so that you can use directly winedbg --gdb <nameofexe.exe>
Unfortunately, Eclipse passes <nameofexe.exe> not via command line, but as a GDB command.