The Visual Studio Tools for Unity are able to convert .NET debug symbol files (namely pdb files) to debug symbols files that are understood by Unity's scripting engine (namely .dll.mdb files) when importing both the .dll and the .pdb in the Assets folder.
If you prefer to handle the conversion yourself you need to call a tool named pdb2mdb on the .dll associated with the .pdb:
pdb2mdb MyLibrary.dll
Will produce a MyLibrary.dll.mdb usable on Unity if MyLibrary.pdb is present.