Not sure it is possible. Any reason you don't want to do this in a terminal instead of the IDE?
There's a possibility to redirect process' output from the dbx console:
- start debug session (Run -> Debug main project),
- open Dbx Console tab at the bottom of the screen,
- type 'delete all; run > log'
But again, it's a lot easier to do this from a terminal.
You can file an RFE (Request For Enhancement) through bugs.sun.com if you really need this feature.