Select 'message'; Not Appearing

Greetings.

I am trying to add some debug to a stored procedure.

I put some statements like this throughout the code:

select 'some message here';

but I never see them.
I put them in a test procedure that works fine, so that I have a feeling that
when an insert fails in a down-stream try catch block, it messes up the
display of the information.

Can someone tell me how to best go about outputting debug I can see from a
stored procedure, or if I am even correct about try catch blocks throwing
errors, messing up the debug visibility.

I can post code if necessary. Just a general debug question here.
thanks
Jeff Kish