This is available with the `GDBSocket` option in
`~/.dolphin-emu/Config/Dolphin.ini`.
GDB can connect to it with:
$ powerpc-eabi-gdb
(gdb) target remote |socat STDIO UNIX:foo.sock
Because I don't like so much binding the GDB stub socket to 0.0.0.0.
On Linux, with a suitable umask, we can make sure that another local
user cannot connect to the socket.