I usually do a digital preview before merging, maybe 10-20 records. If everything looks good I merge 1 record and save to a PDF as a "Test". That is more for setting up the envelope printer. Then I usually merge to PDF by tray. I always open the PDF and check a bunch of pages to see if there is anything weird which jumps out to me. In this case it was 810 records and the first apostrophe was around record 300 and I didn't that far. According to the customer there were 200 envelopes with missing company names.
Peter: How should I check my job if I don't preview?
Most merges take only a few minutes at most, so you don't lose much if they are incorrect in some way -- just delete the merged file and correct the template, then merge again.
If you absolutely cannot resist doing a preview, it generally works to immediately Undo after the preview and before you run the merge.