I wanted to set up Xdebug for my development VM and came here looking for the same information. I've worked through the process and seem to have figured out the main issues so I thought I'd post my findings to help out anyone else who comes after me. My VM is using CentOS 7, you will need to adjust the commands for whatever package manager your version of Linux uses.
The steps I took are based upon the tailored instructions to install Xdebug available at 
https://xdebug.org/wizard.php (Requires HTML output of phpinfo() command).
Compiling Xdebug requires the "phpize" and "php-config" tools (and a compiler). While a standard install of OpenLiteSpeed includes phpize, it is missing the PHP headers and the php-config command. The php-devel package can be used for standard PHP installs so I took a guess that there might be an equivalent lsphp70-devel package provided for OpenLiteSpeed and found I was right.
Install the required dependencies (will be located in /usr/local/lsws/lsphp70/bin)
	
	
	
		Code:
	
	
		sudo yum install lsphp70-devel make gcc
	 
 Download source tar and unzip (or clone the git project from git://github.com/xdebug/xdebug.git)
	
	
	
		Code:
	
	
		wget http://xdebug.org/files/xdebug-2.5.4.tgz
tar -xvzf xdebug-2.5.4.tgz
	 
 Change to source directory
	
	
Run phpize (will need to use full path)
	
	
	
		Code:
	
	
		/usr/local/lsws/lsphp70/bin/phpize
	 
 Run ./configure (will need to provide full path to php-config)
	
	
	
		Code:
	
	
		./configure --with-php-config=/usr/local/lsws/lsphp70/bin/php-config
	 
 Run make
	
	
Copy the compiled module somewhere (e.g. The LiteSpeed PHP modules directory)
	
	
	
		Code:
	
	
		sudo cp modules/xdebug.so /usr/local/lsws/lsphp70/lib64/php/modules
	 
 Edit the php.ini file to enable the compiled module in PHP (all available settings are documented at 
https://xdebug.org/docs/all_settings)
	
	
	
		Code:
	
	
		sudo nano /usr/local/lsws/lsphp70/etc/php.ini
	 
 Add the following at the end of the file.
	
	
	
		Code:
	
	
		[xdebug]
zend_extension = /usr/local/lsws/lsphp70/lib64/php/modules/xdebug.so
xdebug.remote_enable=1
xdebug.remote_connect_back=1
xdebug.remote_port=9000
	 
 Restart OpenLiteSpeed
	
	
	
		Code:
	
	
		sudo /usr/local/lsws/bin/lswsctrl restart
	 
 If you run phpinfo() again xdebug should be now listed under the configuration section.