I got this workaround from tech support.

[num]
[li]Create a new folder at the same level as your web site on the local
machine, i.e., C:\Coldfusion8\wwwroot\test
[li]Open your site definition and change the location of the testing server to
the "test" folder.
[/num]

Apparently the site directory and testing server cannot be the same. With the
workaround, the previewed page is saved automatically.

The down side is that previewed files accumulate in the testing folder and
eventually must be manually deleted.

For those using ColdFsuion developer's edition....
Go to server settings> Caching> uncheck "Save Class Files" <--- there's an
explaination of when to turn it on and off (ie. PROD vs DEV environments)

amplified!