D'oh!
That example needs:
$soapClient = new SoapClient($url, array('trace'=>1));
to turn ON tracing in the first place.

You almost for sure will need to wrap a try/catch block around your SOAP call in order to use these to debug something that's not working.

Otherwise, PHP throws a fatal error before you can execute this function.

For example:
<?php
    $soapClient = new SoapClient($url);
    echo htmlentities($soapClient->__getFunctions());
    //Assume that has output 'someFunction' (among others)
    try {
        $results = $soapClient->someFunction(...);
    }
    catch (SoapFault $soapFault) {
        var_dump($soapFault);
        echo "Request :<br>", htmlentities($soapClient->__getLastRequest()), "<br>";
        echo "Response :<br>", htmlentities($soapClient->__getLastResponse()), "<br>";
    }
?>

Without try/catch, your just get the Fatal Error and PHP commits suicide before you can call __getLastRequest/__getLastResponse

Just to make it a bit more readable

echo "REQUEST:\n" . htmlentities(str_ireplace('><', ">\n<", $client->__getLastRequest())) . "\n";
echo "RESPONSE:\n" . htmlentities(str_ireplace('><', ">\n<", $client->__getLastResponse())) . "\n";

PS: If you are using \n then you need to enclose above statements in <pre>. You can also use <br />, but it gets a bit messy.