There are a number of ways.
You can add a 'go' before your print. eg
Print 'Stage 1'
Select ....
Go
Print 'Stage 2'
select ...
Go
Print 'Stage 3'
select ...
You can also use
Select 'Status Message' .
However, this will take up three lines - as in
Result Set (1 item)
Column1
Status Message
If you are doing a select statement and are only interested in the non-empty results, you can add an extra static column , for example
select 'Check Customer Balances' as Routine, Code, Name
from customer where Balance > 100000000
if there are no customers with balances over 100million, you just get a line saying
Result Set (0 items)
otherwise you get something like
Result Set (1 item)
Routine Code Name
Check Customer Balances BLOGGS1 Joe Bloggs
so the first column will show you which routine has failed.