When the Stepper reaches code for which the source contains an unexpanded macro form, by default it offers you the option of macroexpanding that form.
To see this, follow the example in Standalone use of the stepper and when your reach
my-function
choose
Stepper > Step Through Call
or click 
in the Stepper toolbar.
The source code for
my-function
is shown in the Source area of the Stepper. Choose
Stepper > Step
or click 
in the Stepper toolbar.
Click Yes on the dialog asking "Expand MY-MACRO form?". The macroexpansion replaces the macro form:
Figure 24.8 Stepping a macroexpansion
Now you can Step into the macroexpansion of
my-macro
.
LispWorks IDE User Guide (Macintosh version) - 25 Nov 2011