As with any good software testing is important and perhaps even more so because of the potential dangers associated with drones. How the testing is done is up to you, but it should be very thorough. Make sure every bit of software is working as expected before putting it all together and powering up the motors. My development and testing sequence has been:
When I'm satisfied with the PID tuning I will add PID's for yaw and altitude control. When tested for stability I will attempt a simple but automatic takeoff, hover and landing.
As for PID tuning strategy I am (very) far from being an expert, but will make updates as I gain more experience.
Drones are fun but can be dangerous. Use any information on these pages at your own risk