Luck is not that common with laser diodes, very often the cause is an improper driver. Just post what driver you used and how in a suitable thread. Things like "I used a LM317 circuit, turned on the power and connected the laser diode" is an example how NOT to to it! LM317 drivers are a bit crude for laser diodes, the work fine when you only connect/disconnect with discharged caps and without power applied.
To answer question 4 of the first post: a direct connection to your multimeter in current more should be possible too, the driver should be a current source, so the vurrent should be independent of the voltage and thus also work with a short (or a multimeter in this case). But a test load would be a better way.