In Feynman's memoirs ("Surely You're Joking, Mr. Feynman"), he talks about the testing that they did to calibrate their math: they had a sub- critical ring of fissionable material, and another sub-critical sphere. They'd drop the one through the other, and observe the neutron flux.
So they may not have actually done a gun-type explosion, but it sounds like there was a whole lot of due-diligence paid to the whole thing.