The only way you can test this is by clicking on an actual ad and paying for it :-(
You can use the "Ad Preview" Tool, but its only a preview tool and cookies will not be deployed on your browser.
My suggestions is you check your adwords for the lowest CPC keywords, which is usually your brand name. Use that keyword and then click on it. If you are not bidding on your brand name (company name), then create a sample campaign with a couple of brand keywords, then choose the cheapest CPC one!
If you just want to check what the cookie looks like, etc.. Then click on your competitors keywords and cookies will be dropped. They will pay for your testing, but I don't think this is what you are looking for.
Thanks,