I don't believe you have to close the design tab to run Preview. And once you've executed a preview, you don't need to open the Application branch again (unless you've closed it of course).  What do u mean by "Select application"? Doesn't preview open your current working app?

A suggestion I have is to have the designer tabs accessible when you're in preview mode so if you encounter an error you can simply go back to designer, fix up your error and go back to preview w/out having to exit and reopen Preview mode. I guess what I'm saying is being able to manouever b/w Designer and preview mode at the same time.