First I misunderstood you. I thought you had a problem to get any console at all during debug.
Anyway...
If you run them in Lazarus, there will always be a new console.
You can "run without debugging" (from the run menu). This way you can launch more than one instance.
But it may not help you, because:
1) you can not debug
2) the running instance will lock the exe file. So you can not make changes, because compile will not be able to overwrite the exe.
The best you can do is to copy the data from the console before you close it.
Or you can redirect stdout to a file (I havent tested if that works under the debugger.
Try "Run Parameters":
> file.txt
------------------
On Windows the console is created by the OS. So there is little control. Afaik there are only 2 options.
1) new console
2) use console of parent app (that is what happens if you run your app in a cmd.exe window)
You can not use 2 with the debugger, because the parent app is gdb. And that is started without console. And it must be, because the IDE must read the stdout of gdb.
So there is no way.