Turns out that with JupyterLab, all you have to to is right-click and select "New Console for Notebook" and it opens a console pane below the notebook already attached to the notebook kernel. You can also instead do File > New > Console and select a kernel listed under "Use Kernel From Other Session".
The "New action runInConsole to allow line by line execution of cell content" "PR adds a notebook command `notebook:run-in-console`" but you have to add the associated keyboard shortcut to your config yourself; e.g. `Ctrl Shift Enter` or `Ctrl-G` that calls `notebook:run-in-console`. https://github.com/jupyterlab/jupyterlab/pull/4330
"In Jupyter Lab, execute editor code in Python console" describes how to add the associated keyboard shortcut to your config: https://stackoverflow.com/questions/38648286/in-jupyter-lab-...