If you're on a different machine and testing from the command line, then sure you'd have to create corresponding directories, and it may be worthwhile. You can supply the form parameters in several ways, IMO its easiest to put them in a file (makes them easy to change later) like this (often you can just cut n paste from the URL browser window):

param1=value1
param2=value2
etc=etc
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You can even leave them as the actual query string joined by '&' or ';', but to me its easier to edit when you separate them as above. Then you run your script with the CGI debug parameter on with this file as STDIN:

./my_cgi_script <my_parameters
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To me its easier to get it working from the command line first, than constantly having to check the web logs (yes you can use FatalsToBrowser, but it doesn't help if your script dies before headers get output).