There are at least three ways to test your compass sensor.

The first is to use the SensorTest option in UAVPSet.

The second was recommended by jesolins on rcgroup. It is quoted here:

All,
Here is a good way to test your compass. Put a 10 in the compass parameter window. Make
changes to the Yaw parameters: P=-1, I=-25(* use plus if F&R are CW rotation), D=0, L=25,
IL=2. Now *safely* do a hand test with hover power.  If it is working correctly, it will hold heading with a little bit of searching with no yaw gyro input. Because of this test, I now use (-20 to -25) in my Yaw "I" and (-25 to -30) in yaw "P" and the heading holds very well.
Cheers,
Jim 

Original source: http://www.rcgroups.com/forums/showpost.php?p=10797281&postcount=1388

And the third is to use the UAVX Ground Station. Note that the ground station compass movements are sometimes not smooth due to com port interrupts.