When you enable the debug, the result will show on the screen. So you have to turn on the capture of the terminal software before start the debug. However, if you debug all traffic, it will create high loading on the device, beware not to debug everything. Moreover, the debug will show you the event and not the traffic content.
If you really want to capture the traffic content, you better span the port/vlan to a port and connect a Sniffer type machine to capture the traffic.
Hope this helps.