In the project options, go to "Compiler Options" > "Additions and overrides". Click on "Stored in session of project (.lps)", then "Add" > "Custom Option", click on "Targets" > "Custom" and type "-gw3" (without quotes") > "OK". (You could also put this into "Stored in project (.lpi)", but my personal opinion is that this is a local setting and should not be in the project file).
When you now compile the project, the IDE recompiles also all packages with Dwarf-3 debug information.