I personally prefer to develop by writing small functions and pairing them with a small test. Hacking in a REPL environment, saving the result and calling it source code has not worked out well for me, I end up producing spaghetti :)

I do however find REPL to be invaluable when experimenting/doing research. When you don't even know what the end result is, or when exploring data, you need to iterate over many ideas as quickly as possible and REPL is the fastest way to do that.