I debug from the REPL directly (launched from the REPL but still debug through the source as normal in VS code). If you write @enter or @run (I believe, but dont use the second one), then the debugger will launch directly on the code you put. So
@run data=maker()
Will specify the entry point to debugging, with all of your modules already loaded. This is a much faster process than debugging in a separate process as it only loads your code once (Debugging · Julia in VS Code more details towards the bottom).
Strange about the compiled modules going away, are you opening a folder/workspace in VS code, or just opening individual files? In my experience, I set the compiled modules once per folder/workspace and it has persisted.