Thanks for your reply.
I finally managed to make it work, it was mainly my lack of understanding how the whole plugin works.
I was doing the following wrong:
1) I was building the C++ code without using the -g parameter, basically by running the Cmd + B. I then built the file by using the command
g++ myfile.cpp -g -o myfile
2) The settings in the sublime-project was wrong, my final setting looks like this:
"sublimegdb_commandline": "gdb --interpreter=mi ./myfile",
It was particularly important to set the flag sublimegdb_i_know_how_to_use_gdb_thank_you_very_much to true, otherwise I keep getting annoying pop ups
I hope this helps someone else trying to set up sublimegdb