The debugger has no way to distinguish between your code and LCL code, so AFAIK this cannot be done by setting options.
In theory you could generate a Lazarus setup that had no debug info in the LCL ppus.
However, AFAIK, the makefiles specify the debug info should be added. So generating an LCL stripped of debug info is not for the faint-hearted. I suppose lazbuild can do this, but I've never tried.
I think, unless you are quite experienced at compiling complex projects and libraries and using compiler switches like -XX, -Xs, -CX that your best bet when debugging is to "step over" (F8) LCL routines rather than "step into" them. Just step into your own code routines as needed.