Letting the stub handle breakpoints will reduce the time GDB spends
on putting data back and forth between each step somewhat. Not entirely
though, since it keeps setting/clearing breakpoints - it just gets a bit
more effecient.

I raised the subject (on gdb-local) of letting the stub handle the
breakpoints entirely and not set/clear them continously, but this appears
to be a feature, allowing GDB to crash / lose the connection without
affecting the target state. Of course, this is only true if it happens
while the user is interacting with GDB - not while GDB is waiting for
target actions... Oh well...