How to see LOG_INF, LOG_WRN messages, preferably in real time

Al over these example programs there are all these messages like

LOG_INF("Filters matched. Address: %s connectable: %d",
addr, connectable);
How do you actually *see* them? The best bet would be have them spit out over the USB
connection that's
used for the built in debugger. I've seen some pages suggesting this might be true,
but I just can't
understand what any of them are saying.
I've seen this for example:

https://developer.nordicsemi.com/nRF_Connect_SDK/doc/1.4.99-dev1/kconfig/CONFIG_LOG_DEFAULT_LEVEL.html

And it casually says things like this:

At <nRF>/samples/Kconfig:33

Included via <Zephyr>/Kconfig:8<Zephyr>/Kconfig.zephyr:9<BuildDir>/Kconfig/Kconfig.modules:1<nRF>/Kconfig.nrf:24

Menu path: (Top) → Modules → Nordic nRF Connect

I have absolutely no idea what this is saying.
Are there some explicit instructions somewhere that says:
You need open this menu up from this part of VSC, click here, go to sub
menus X, Y & Z to this line and change it say
DEBUGGING_OUT_OF_JLINK=y
Or whatever it should be.

All I want to see is what these messages are saying in real time. With any normal
debugging system
I'd set a breakpoint and single step though looking at registers to see
what's going on. Or in extreme cases use
a UART to spit out some info, but I'm already using the UART to
[try to] send info in and out over BLE.
Thanks
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