Marc - It is my understanding that you cannot break your website with your skin - no matter how bad the skin may look, however, having said that, I'll tell you how we do our testing and upgrades.
We have a dnn build setup and simply create a page and assign that page only, not the whole site, with the skin we are testing.
To be honest, the changes in the skins have been in relation to the installation of skins, not the actual use of skins that are already installed and I don't think you'll have any problems.
Do you have a local build of DNN?
I don't think it's going to be an issue to be honest.