^^^^
As others have said - Can be done on the fly.
You can also shift from S straight through D to M. But be aware of your revs.
Also, you can override either D or S at any time by using the paddles to manually select a gear. Having done so, if left in D or S for about 30 seconds without further selections the DSG box of tricks will automatically revert to D (or S).
You can't really break the DSG box or clutches (except by too much torque remapping), so feel relaxed about experimenting to find what you like best - You have lots of options - Enjoy!
Ask away if you have any more DSG questions.