Using the command-line, PHP's built-in server, and three files:
./prepend.php: <?php error_log("prepend"); echo " prepend";
./script.php: <?php error_log("script"); echo " script";
./append.php: <?php error_log("append"); echo " append";

(session 1:)
$ php -d auto_prepend_file=prepend.php -d auto_append_file=append.php -S localhost:8080 -t .
(outputs version, paths, etc.)

(session 2:)
$ curl -s http://localhost:8080/script.php?XDEBUG_SESSION_STOP_NO_EXEC
DEBUG SESSION ENDED script append

(session 1:)
[%s] script
[%s] append