What version of GDB do you use?
I tested (on windows) with gdb 7.2-1 and I was able to step into a DLL
Having said that:
Steeping from the hos-app, into the dll with F7 does not seem to work reliable.
but stepping inside the dll (once in there) and breakpoints are fine.
--Edit:
Oh, and i do not have any custom library loading code, I let the Os load the lib, at application start.
If you have your own calls to load the library by hand, you may (don't know / maybe not, maybe it even work then) have to wait until the library is loaded, before you can insert the breakpoint.