There are two schools of thought when it comes to how to test your coils:
The first is to get a resistance reading on your build with a multimeter or a vv device, then use a mechanical PV to actually test the build. As long as you don't have a hard short, testing on a mechanical mod is quite safe, so long as you use IMR batteries. If you want a layer of protection, you can always use a 2cent or shortstop fuse to protect that battery. The advantages of using a mech mod to test are that you avoid damaging the circuitry in your VV devices (yes, it DOES happen), you get a true sense of how the coil behaves on a simple DC current, and you have no timed cut-off to deal with.
Short-duration pulses of higher amperage due to adjusting coils doesn't often harm IMR batts, but it will throw VV mods into protected modes, and sometimes can damage the circuitry. Think about it like this: if there were thunderstorms and the chance of a power surge, you would unplug your plasma TV and your PC, but do you unplug things like light fixtures or fans?
The second school of thought is using one device (e.g. a provari) to test the resistance AND test the coil. This allows you to incrementally raise the voltage, and if you plan on using the particular build on the test rig, it gives you a good idea of how it will perform. The protection circuitry has a tendency to throw error codes out constantly, though, and it can become time-consuming to get a build right on sensitive VV devices like the Provari.
I suppose, for someone just starting out, I might recommend testing on a VV rig just because you have a built-in layer of protection; However, for experienced users, mechanical mods make setting coils up simpler, quicker and easier. Plus, you won't kill a $180 device.