Do you have Data bridge installed?
if so when you go to the Database tab to create a new Database connection, choose the option to use the Dynamic MySQL connection.
in the Dynamic MySQL connection, you will be able to specify the local server details on the initial tab, then on the Additional Servers tab, you can specify the remote server details.
If you don't have Data Bridge / Dynamic Connections, then the next best thing is to upload the connection with the remote details to the server, then use file villa or another FTP program to access the server and set the Connection file on the server to be read only.
now you can set the connection in DW up for the local server, and the next time it tries to upload the local details, it won't be able to because it is read only on the server.