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If you have files in directories on your server then you need to create the same directory structure locally.  I have my CSS in a css folder on the server, but I just had the html and css files in the same place on my iPad.  I couldn't get the preview to show any of the formatting.  Then this post made me realize, so I created a css folder and moved the css files into it.  Now I can preview my changes before putting them up on the server.  I'm sure that you could download your images as well if you needed to be able to preview a complete page.  Maybe a piece could be added to the manual about mirroring your directory structure locally?