No Kentico's instructions are not incorrect, but when you are doing code this way, as long as you save the code file in Visual Studio you can just go to the browser, refresh and see how your new code runs. It does not require a build through VS.
If you want to debug at that point, then you can just Attach to Process and debug that way.
I tend to use the Web App because of the faster build, plus I have multiple versions running on my system so if I want to look at the code behind in a Web Site version, I can easily do so by looking at another running instance.
Even with the Web App version it still needs to re-compile to see your changes, but all the standard Kentico classes are pre-compiled which speeds up the build process dramatically.
Sorry I cannot be of more help.