Work on a new theme without replacing current one?

I was wondering if there is a way to work on a new theme and see how things look like when the site is live without replacing the current one that visitors see?

Because, I want to modify a current theme but if things go badly, I don’t want my visitors do have their experience affected.

Any help? Or should I just install a second wordpress and work on it there and when I like it just transfer it over and see how it looks?