Tips on Changing Theme Mid-Stream

On one of my older websites, I would like to change to a WPMU theme. When I activated the new theme, none of the content on the home page transferred (except the side blogs). Not even the menu. I'm just wondering what the best strategy is to change themes, since I'm not sure which theme I would settle on. Should I build it out in another folder, or just set it up as quick as possible live? Do all the pages and posts transfer over?

Thanks!!!!!