If you are not ready to upload the site to the server, then do not upload the site to the server, this is what I was trying to get at when I said that "Different people have different work flows. some people manage a local testing server, others use a sub domain of the remote site as a testing server."
Some people dop there testing localy ( No Need to Upload to the server to test) Some do there testing remotely (In this case you would need to uplopad to the remote teting server to test).
Really it is up to you and your work flow.
If your work flow is to test locally and not upload to the server until testing is done, then do not upload to the server until you have completed testing.
If you click on the theme it button and make you tweaks, then click on cancel to get out of theme it, yes, you will loose any of the tweaks you have made, that's what happens when you click cancel, you cancel out all of the changes. to save the changes you made, you would need to click the finish button.
bear in mind that the finish button in theme it is not the finish button in the Site Sculptor wizard, they are 2 separate finish buttons.
when you click the finish button in theme It, you will prompted to save your changes as a new Theme.
if you save the changes as a new theme, then you can click the cancel button in Site Sculptor and when you open Site Sculptor again, you can select your saved theme.
Same holds true if you click the Define button next to Site type, make changes on that screen and click finish, you will be prompted to save your changes as a new site type that can be reused later.