An older question but still relevant, and top google result for me when searching. This is the solution I came up with:
node-sass call in package.json (I have my hugo site in site/ relative to package.json):
"css:build": "node-sass --output-style compressed --source-map true -o site/themes/hugo_pbd/static/css/ site/themes/hugo_pbd/static-src/sass/"
This builds files in my theme/static-src/sass into my theme/static/css, and uses source-map with the default pathing.
I then navigated into my [hugo site root]/static folder and created this symlink:
ln -s ../themes/hugo_pbd/static-src/ .
(on Windows a similar command can be called using mklink /J)
In my browser, after running hugo server I can now reach the source maps it looks for in http://localhost:1313/static-src/sass/styles.scss