I know that I need to set the current limit on my DRV8825 driver carriers, but I'm confused as to whether I need to have the stepper motor connected or not.
On most of what I have read it is always stated to not connect power to the driver without a stepper connected because it will burn out but on Pololu's site, their tech sets the current limit without a stepper connected to the driver.
EXACTLY what are they doing to set the limit? Are they just changing a resistor or are they setting dip switches or are they changing jumpers on the board? Any of those are done with NO power to the board.
You should not connect or disconnect a stepper from a powered up board because this can generate a voltage spike and destroy the driver. It is perfectly OK to power up the driver with the stepper disconnected - in fact it is recommended - to set the coil currents by measuring Vref on the wiper of the little pot on the board. They give a formula to calculate the voltage to get the current you want which can often be significantly less than the rated maximum current for the motor.
Note that for this type of driver the supply current will usually be significantly less than the coil current you set because the driver is acting as a switched-mode power supply. The higher the supply voltage compared to the stepper voltage the lower will the supply current be.