I found myself in a situation where I needed to do some editing to my theme but did not want them to be publicly visible yet. Normally I would create a copy of my site on a localhost and work / test from there. But what if the adjustments are small and you just want to be safe... I stumbled upon the fact that, if configured right, a user can set his or her personal theme for viewing the site. So why not enable your new theme and set it as your viewing theme to check your theme. It can be done in a few easy steps:

1. Create a folder for your test theme in your themes folder.
2. Set your user role to have permission to change the personal theme (the admin role has this by default).
3. Enable your theme in the [site building]->[themes] but do not set the theme as default.
4. Go to your account page and set the personal theme to the test theme. 

And there you have it, you can see your changes without bothering your visitors with a "buggy" theme :). Off course this only works for smaller theme changes... If you're radically changing the site you probably want to go and set up that test environment.