the main point of the SHUTDOWN file (which is what's used when you 'turn off' the site) is to shut down the front-end of the site during installs/upgrades when database changes are required. the install or upgrade script removes that file upon successful completion.
if you're working on new pages you don't want the public to see:
do not show them in menus and then have a browser window opened to that specific url (that you can refresh as needed) if you absolutely have to see the page in place on the site. if it's not shown in the menu but still active, you can go directly to the page. if it's not in the menus, your visitors won't know it exists.
if you're working on an existing page; copy its contents for editing to a separate 'temporary' page that is not shown in the menus, when you're done, copy the temporary page's content to where it actually goes in the site.
if you're working on templates and/or css... do that on a different, "test" installation entirely, or set only one 'sample page' to use your "in progress" template/css... then when you're done, you can either copy the template/css code to the 'live' ones the rest of the pages use or set the rest of the pages to use the 'new' template.
if you're just 'trying out' different modules and other things.. you're messing with fate (and your site).. i suggest using a different 'test' installation of cmsms until you are certain that you will be implementing it on the 'live' site and know how.
a couple of other suggestions for you:
you can use htaccess to either temporarily require authentication or to temporarily redirect all but specific ip's to a different page. you may find some inspiration
here.
.