The way I thought it would work, is to use xterm as launching application. You can set this option in the Run Parameters dialog you can find in the Run menu.
I just tried to do it myself, but it crashes lazarus with a Gdk-Error:
Gdk-ERROR **: BadWindow (Invalid Window parameter)
serial 72991 error_code 3 request_code 10 minor code_code.
Apparently this needs some debugging.
I am running lazarus with fpc 1.9.3 both about a week old from CVS.