Well, that depends on how you have set up your development workflow.
What i usually do when i´m trying things out is to deploy the solution to a staging environment, that can be:
- on the hoster where the site is hosted by creating a subdomain;
- deploy to iis on a local machine
- deploy to a folder and test on webmatrix.
My prefered method is the first.
If you are using sql compact as database don´t forget to copy it, and also the files in the media folder.
If you want to understand and be productive with orchard you shouldn´t be afraid of messing it up, as long as you have the precaution of backing up what you have in production and also setting the testing environments to try new stuff.
Hope it helps.