This is where I think like a stand up comedian. When stand ups have new material they work it out. Not at the gym but at open mics if they aren't a well known comedian or by doing a drop in at another club, if they are more well known in the community. At a club like Caroline's in New York city it isn't uncommon to be there to see someone that isn't famous and a famous comedian will show up unannounced and do a few minutes to see how it plays.
For those of us who are not Louis CK or Daniel Tosh, we have to work open mics. The nice thing is, venues have realized that an open mic is free entertainment for their guests and comics drink, sometimes a lot. So now there are many open mics. In Chicago, where I live, you perform at multiple open mics every night of the week. Just because they are plentiful doesn't mean they are easy.
The Waiting
Like many things, the waiting is the hardest part. For most open mics they put up the sign up sheet anywhere from 1 hour to 2 hours ahead of time. If you get there early enough to get to the top of the list you still end up waiting an hour to go on. If you don't get there early you end up way down on the list and end up waiting multiple hours. When the open mic starts at 10:00 PM you could be going on at 1:00 AM to perform for about 3 other people who are probably really drunk.
The Right Mic
No two open mics are created equal. As a magician some of the comedy only open mics aren't the most welcoming, plus the comedy only mics usually have ridiculously short set time limits. Some have a time limit as short as 3 minutes. I've found that open mics that allow music and poetry are much more welcoming. Also, some of them have set times as long as 15 minutes.
Getting it on Video
The most important part (and the thing I see the least of) is to tape your set. I have no idea how these guys expect to remember what worked really well, somewhat well, not well, etc, etc, etc ad nauseum. I know watching yourself on tape is harrowing prospect. But if you are not tough enough to watch yourself on tape then you are not tough enough to perform.