You should disconnect the coil when doing a compression test. I always cut fuel as well - either pull a fuse or disconnect the harness to the injectors. Make sure your battery is 100% charged and ready to go.
You can buy the leakdown tester or make your own for like $20. Leakdown tests can be done on a cold motor, usually is actually since it's done to check motors before/just after you bought them to put into a vehicle. In fact, I don't know that I've ever done one on a motor in a car before..If you're not TDC on compression, the piston/crank will move or the air will rush out of an open valve, so it's pretty obvious you didn't have it just right. Just rotate the crank and try again.