I tested mine before fitting it, if you want to be really certain it works then connect up the battery and regulator and headlight bulb as well, get the battery powering the bulb and then spin the Dynamo with a drill. You should be able to see the voltage rise on the battery to circa 7 volts, or 13.5 volts for 12 volt systems.
You can also check charging current as well. I was surprised by how much the battery discharges through the Dynamo at low revs when doing this sort of testing with a mechanical regulator, and bought a Dvr2 as a result.
It's a lot easier fault finding this way than having to run the engine etc, once it's on the bike.