You will regularly want to switch from editing your page content to preview it as users will see it. The best way to do this is to press the preview button in the top right of the content window. When the Guide renders, it would open at the current page you were editing.
To return to the edit mode, press the Editor button and you will be returned to edit mode on the page that you were viewing in Play mode.
Another approach that works for the current page is to switch Layout mode to Split View mode by selecting the 2nd from left button in the header bar.
You can also start the Guide player from the Tools->Guides->Play menu. This is not as flexible as using preview mode but it will start the Guide in play mode from the first page.