As I keep searching the web for way too long again and again, I hope this post will be #1 next I forget how to build QGIS with debugging symbols.

Add CMAKE_BUILD_TYPE=Debug to the cmake invocation.

E.g.:

cmake -G "Unix Makefiles" ../ \
    -DCMAKE_BUILD_TYPE=Debug
    ...

For a not as safe but more performant compilation, you can use RelWithDebInfo. I just found out today but will use that in the future rather than the full-blown Debug. See https://cmake.org/pipermail/cmake/2001-October/002479.html for some background.

On Archlinux, also add options=(debug !strip) in your PKGBUILD to have them not stripped away later.