Can you have the engine running and put the drive in gear if you have the boat out of the water ?

As far as I know you can, as long as you have the muffs on it, and the hose out of the way.
Of course, you will have a prop spinning around which could be VERY dangerous!!!!
I have done this myself though...no problems noted.

Do it every year to make sure everything is working properly.

Yes.

I do it too. But, never advance the throttle past idle.

Thanx for the replys

yup I do it too, but never start without water, I wouldnt go back past idle like said above.

Like to add,

Remove the prop!

Unless your the only one around!

also if you want to try reverse and foward make sure you do a long pause as that shaft will spin freely even after disengaged, best to even eyeball it to make sure it stopped before going in opposite direction

Do not run without water source! Even for very short time. If you have done this already you may want to consider changing the impeller before your next adventure out.