You can do it while moving or on the gas. If you leave it in "1", the car will stay in first until it hits the redline, and will then shift into second. If you are still in "1" and drop to 35MPH, then the car will downshift into first gear again. If you leave it in "2" then the car will shift normally from first to second, and then won't shift into 3rd, it'll just bounce off the rev limiter. If you leave it in "3" then the car will shift normally through first, second, and into third, but won't shift into OD.
You are simply telling the PCM what gears to shift to, nothing mechanical, so you can do it while you are moving.
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---Kevin