work on a theme while another is active???

Maybe it’s very simple but I can’t seem to figure it out….
Is it possible work on a theme while another one is active? I have a theme I want to switch my site over to, but I want to work on it and not have everyone see it while i’m getting it together…. so how do I work on it and change options ect… while keeping the main one active and visible to the world?

Thank you for your help.