I use mspdebug running under Eclipse, but have only recently upgraded from
the old gdbproxy to mspdebug. This is under XP rather than Linux, but I
don't imagine there is a lot of difference once the basics are in place.
I did some notes on setting this up, that Daniel has included in his FAQ on
the mspdebug website (http://mspdebug.sourceforge.net/faq.html). See if this
helps, but feel free to ask - if its very specific to running on Linux I may
not be a lot of use, but if its more generic I've probably been there!