Testing Mosfets on DMM HFE setting

You can use the diode test to test the MOSFET. Short G to S. The MOSFET should now be off. Test from D to S using the diode test (red=D black=S). It should show no conductivity. Now touch the red to G (keep black on S), which will charge up the gate and turn on the MOSFET. Move red back to D and it should show a low reading. The small capacitance of the gate is enough to keep it charged even when it is not connected.

This is only a basic good/bad test to test for shorts and conductivity, it can't give you the transconductance (analogous to the HFE of a bipolar).