I figured out the problem. I had compiled swank with debug set to 3. Because of this, when I would step after the break it would then step into swank, giving the weird behavior I described in the Stack Overflow post.

On Wed, Jan 21, 2015 at 1:44 AM, Helmut Eller <eller.helmut@gmail.com> wrote:

On Tue, Jan 20 2015, Michael Malis wrote:

> Can someone tell me if I am missing something obvious or if it is currently
> is not possible to step after breaking with sbcl and Slime?

There are stepping commands in the sldb buffer:
s -- sldb-step
o -- sldb-out
x -- sldb-next

For SBCL:
s calls sb-ext:step-into
o calls sb-ext:step-out
x calls sb-ext:step-next

And sb-impl::enable-stepping is called automatically by those commands.
So it looks like the commands do something reasonable.

If I add (declare (optimize debug)) to your fib function then the
commands seem work.

Helmut