When you use Firebug to alter your cforms CSS you should see your changes instantly – that's the beauty of Firebug. Unless you're applying your changes in the wrong place.
Also, when you're done, make sure to properly copy the entire and modified CSS information from Firebug to the cforms CSS editor, then hit save/update.
The webcast shows this as the last important step, because otherwise all your temporary Firebug changes will be lost.
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RE: the preview image (on the Styling admin page)
The preview is really a static preview. For the CSS themes delivered with cforms, I have included a image/snapshot. You can do that yourself of course, just make sure you keep the file name notation (CSS-theme-file-name.jpg) and the image size (300x228px).
All files are in contactforms/styling.