said by Samsss :Is there another way to check and see if the wire is connected somewhere else before connecting to the furnace?
It would be very unusual if the cable between thermostat and furnace connected to anything unrelated to HVAC components (furnace, air handler, AC). Based on the number of cables visible in your picture of the furnace terminal block it appears that this is the location where all the connections are made (and that is very typical).
For additional piece of mind, you can use a multimeter and make the following measurements after disconnecting the black wire on both the furnace and thermostat end:
1.) measure AC voltage from the black wire to R, C and ground. Don't worry if there is a low reading as a small amount of voltage may be induced into the open wire from nearby electrical circuits. The primary purpose is to determine that it is safe to measure resistance which should not be done if there is a voltage present.
2.) measure the resistance between the black wire and R, C and ground. The Ohm-meter should show infinite resistance indicating that there is nothing connected to the wire.
said by Samsss :If I just test this wiring scheme to see if it works or not, would it damage anything if the wires are connected to something else before its connected to furnace?
That depends on what exactly would be connected but in general the possibility of damage does exist. One hypothetical possibility might be that the cable is not contiguous and is spliced somewhere in the middle (with red and black connected together in the splice as well). That would create a short circuit between R and C which may blow a fuse or damage the 24V transformer in the furnace.