That's correct, when in the lights off position any basic ohm meter should read open, infinity or some cases 1- on the far left of the display. The lever should also move freely.
As mentioned above connect one wire to a good battery, then to either of the switches screws, another wire from the other switch screw to the center contact on a bulb, and the last wire from the building shell back to the battery. Operate the switch lever should toggle it on and off.
