I have an application with 4 threads working the same code. However, when I step it jumps between the different threads. How can I lock it to one thread so the other threads are ignored for debugging?
Yes.
In the Threads window (Debug -> Windows -> Threads) right-click the thread you want and select "switch to thread".
You can also choose "freeze" on the threads you don't want to debug in order to keep them from running. Don't forget to "thaw" them if you expect them to do work, however.