warning: connecting the motor directly to a power supply will destroy the motor and void the warranty. If you want to check your motor make sure it is connected to a constant current / chopper drive controller.
The point of a current controlled driver is to get enough torque at a wide(r) range of motor speeds without frying the motor. The supply voltage has to be high enough for this to work. For small steppers simple controllers aren't too expensive.http://www.sparkfun.com/products/10267You can control the average phase current with PWM, but you also have to measure it. That at least requires a sensing resistor and an opamp + a PWM generator. Some of that can be done in code, but is it really worth the trouble?