I guess you are getting the wM response back in SOAP GUI itself.
I think to know the intermediate steps in wM you need to debug the service to which you are posting the message from SOAP GUI. For that you need to enable the services savePipelineToFile and then enable restorePipelineFromFile to capture the message posted through SOAP GUI and then debug step by step in wM.
Or else if there is extensive logging available in webMethods then you can check the logs as well.
Please let me know whether I have understood your requirement correctly and did this solution work.
#edi#Integration-Server-and-ESB#webMethods