Most online brokerages offer virtual (paper) trading. I cannot begin to express to you the importance of virtual trading. It gives you an idea about how a new strategy will work and how the position looks on a day to day basis.
There are a few things I need to warn you about however. First of all, psychologically, virtual trading is not the same as real trading. Traders are much more willing to make trades when they know the money is not real. You also do not stress as much as the trades move from positive to negative to positive to negative to etc… in virtual trading. Once you start trading real money you will find it more difficult to place the trade, watch the day to day swings of the trade, let profits run or cut losses too soon (or too late).
Second, stock fills tend to be pretty accurate but option fills can be at extreme ranges in virtual trading. This is because virtual trading is using the bid/ask that is in the real market. It does not take into account your actual order. If you are trading an highly liquid option that might not be a big deal but if you are trading an option with a wide bid/ask you will find that either you will not get filled in virtual trading or you will get bad fills. Real trading typically gets a better fill than virtual.
These are two of the problems you need to be aware of in virtual trading but the advantages far outweigh the shortcomings. I would never trade a new strategy without virtually trading it for a couple of months at least.
Yes it sucks when you see you could have made a lot of money if you had been trading real money instead of virtual money and you tend to focus on that rather than when you lost virtual money.
Virtual trade FIRST. ALWAYS.