In Eclipse 3.3, you have to check a special configuration option to get the old behavior. That way you don't have to needlessly click the same debugging configuration each time. The PyDev documentation clued me in to this.
Note: This behavior changed in Eclipse 3.3 -- but it's generally recommended to restore it in the preferences at: window > preferences > Run/Debug > Launching and set the Launch Operation to Always launch the previously launched application. This tutorial will always consider this as the default option.After that, F11 rocks your world.