If you own Visual Studio 2012, you enable the Graphics Diagnostics toolbar to directly debug shaders just like you would any other code, minus Edit-and-Continue. More info here- http://msdn.microsoft.com/en-us/library/hh315751(v=vs.110).aspx
In 3dsmax, you can apply a shader material with a given .fx file to see the results as you save them. FXComposer is a great tool for creating, editing and debugging shaders. Parralel nsight for NVidia registered developers can also help facilitate shader debugging and creation from here - https://developer.nvidia.com/rdp/nsight-visual-studio-edition-downloads