I think a recent update (March 3rd, version 2.5.3) to SBCL added this sorta breakpoint debugging functionality. Hopefully we'll see it integrated with SLIME soon.

> enhancement: breakpoint debugger commands have been added. Included is a stepper based on breakpoints requiring no extra instrumentation. However, it still has less functionality than the existing single stepper. See the new debugger manual section titled "Breakpoint Commands" for more information on the new commands.