When you change the .as file instead of running the .swf, you can just test the movie. This can be found under control -> test movie -> test (shortcut: ctrl + enter). Make sure you save all files you make changes to (both the .as and .fla).
The reason for putting code in the .as file is for readability. You have all your code in one place and it is easier to find and correct errors. Otherwise you may need to incorporate the code into several different frames which will just add to the confusion.
Hope this helps.