CTRL+Break (Pause Key) is the best method to stop a macro  while it is
running. However, when I write  a new macro and I am not sure what it is
going to do, I run it in step mode until I know it is working correctly.

I also recommend that you read through Greg's article on Debugging
Techniques to help you get a handle on perfecting your code.
pubs.logicalexpressions.com/.../LPMArticle.asp