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Testing is done on an engine which is not running, and normally with the tested cylinder at top dead center, although testing can be done at other points in the compression and power stroke. Pressure is fed into a cylinder via the spark plug hole and the flow, which represents any leakage from the cylinder, is measured.
1. I'm not sure it's vital, but I think the engine should at least be warm.
2. It doesn't really matter. Each one will have to come out so you might as well do them all at once.
3. I don't think pulling the valve covers will help you. You need to have the cylinder you are checking at TDC. I would by finding TDC for #1. You can use the old thumb in the plug hole trick and get the timing marks lined up. That's good for testing #1. Then turn the crank over 90 degrees. That will get you to TDC for #8. Do this for each cylinder following the firing order. The trick is going exactly 90 degrees. If you're off the compressed air will push the piston down. If the car is a stick you could put it in gear and set the parking brake to solve this.
Just remember to remove the wrench from the damper bolt you used to rotate the crank to TDC. If not, and you are not dead on TDC the crank will move and the wrench will end up where you don't want it. Don't ask me how I know.