@Jeffro - We've explored this option a bit. The tabbed prototype we built actually has a "Preview" button that would open your site with the idea of showing you a preview of your widget in place, but it never worked. The problem is that there's currently no way for WordPress to know which page on your site contains the sidebar that you're editing.

We've been working with the following idea: The customizer is great for previewing and quick updates; The wp-admin widgets screen is great for power users looking to manage lots of widgets and sidebars.

The customizer makes it super easy to add and update widgets with a live preview, but its limited to editing the widgets and sidebars that exist on a single page of your site. The wp-admin widgets screen makes it easy to manage all of your widgets and sidebars in one place, but this comes at the cost of obviousness — there's a major disconnect between the wp-admin widgets screen, and the front-end of your site.

We're exploring these, and more, options and would love more help. Join us on freenode channel #wordpress-ui each Monday at 20:00 UTC.