By default, if your query have sql syntax errors, it'll be shown in error box. In case of some logic error you can debug in this way.

Search for this code in core lib (jqgrid_dist.php)

$sql = "INSERT INTO {$this->table} $insert_str";
and
$sql = "UPDATE {$this->table} $update_str WHERE $pk_field = '$id'";

and put after these statements.

phpgrid_error($sql);

It will show you queries in error box.

I found this to work better in my envrionment

$fp = fopen("log.txt", "a+");
$scriptname='debug in '.basename(__FILE__, '.php').'.php';
fwrite($fp, "n PHP GRID INSERT $scriptname");
fwrite($fp, "n $sql ");
fwrite($fp, "n");
fclose($fp);