The Simulate Download feature available when testing in the Flash authoring tool is very useful when testing a preloader. You can find this on the View menu when testing a movie. It is a good idea to try Simulate Download at different bandwidth settings, so you can get an idea of how the preloader looks on different types of connections. Use the Bandwidth Profiler to ensure that your preloader clip is small enough, and to compare the actual load progress with the progress reported by your preloader. Sometimes, I throw a gigantic bitmap into the file just to make sure my preloader is working properly.
Although the Simulate Download feature is very useful, it doesn’t duplicate loading something from a remote location. Always be sure to test preloaders by loading the content from a remote server (ideally the same server that the live content will eventually go on) before going live with your content.