What you have done in your first message sounds correct to me. You may have missed somthing simple in the line of doing that but principally that is the only way to debug a KMD. It is possible, as you have suggested, there is something wrong in the way your driver is being loaded so you actually never reach the entry point so you'd better put some trace messages in your driver and check the debug window (Hey, did you know that you can see the debug outputs of the KMDs in SoftIce too?) just to be sure that your driver is actually being loaded correctly and the entry point functions. Sometimes using the debug output is enough to debug many types of driver routines. For example, it is not a very good idea to debug an interrupt routing using SoftIce while debug messages can help a lot in that case.
JMI, while what you have written is perfect for normal applications, it does not help at all when you need to debug a Kernel Mode Driver. A driver has no process by itself and you can not ATTACH to it.