I'm getting an itch to tinker with the HISE source code but being unfamiliar with working on projects of this scale I have a very basic question. If I make a change how do I test it, or to be more exact do I have to recompile/rebuild the whole project every time I want to test a change (no matter how small)?
Yes, but the compiler is smart and only rebuilds the files that you've changed (however if you change a file that is used by other files they will also be recompiled). It won't be as fast as compiling scripts though - otherwise the whole scripting engine would be pointless ;)
If you're on Linux, try to use VS Code with the C++ extension, this gives the best UX IMHO.