A typical approach is something like this:

1. Develop in your master development environment
2. Migrate to your development testing environment
3. Test in your development testing environment

For basic development, this approach works fine. However, I find that for more complex development, I like this approach better:

1. Prototype in a prototype/sandbox development environment.
2. Once you are happy with your prototype and have performed some basic tests, recreate (do not migrate) the changes in your master development environment.
3. Migrate to your development testing environment
4. Test in your development testing environment

The prototype first approach works really well when you aren't sure what your final solution will look like and you need to feel your way towards it. It does however require three development environments instead of two.

Everyone is different, but I figure it's useful to know how different people work. If you have a different approach or suggestion, please comment.