I have created a small flash CS4 project that has a few custom components ( AS 3), communicating with each other.
Is it possible to make a FLA file that points to these components in source format (as .AS files), without compiling these components separately 1st and copying to /flash/components folder?
I want an easy way to alter components' source code while developing/debugging.
The simple answer is no... Assuming the classes are not compiled in the same file (a single reference is enough to do so, automatically).
If you have your components in separate SWF's, I'm guessing the issue is that you don't want to compile everything manually every time? If so, ANT is a great tool to automate compilation, amoung other things. It's not exactly beginner friendly but with some googling you'll find plenty of info. ANT is also great for other time consuming repetitive tasks, you could for example automatically zip stuff or commit to svn. With (for example) BigSource you can use FCSH from the Flex SDK too, which will make compilation much faster.
Another easier but less flexible alternative is flash project (assuming all the components have their own fla). With it you can simply compile all the fla's in a project in a batch. You'll probably quickly hit a wall with this and realize ANT is better but it's a start ;)