I used TIP31C to drive a Stepper Motor (12V DC). I connected a free wheel diode between 12V and Collector but it always burnt out. May I use a strong LED instead of free wheel diode so that I can check it didn't burn?
If your diode burned out, the flyback must have exceeded the max curent or wattage the diode could handle. I know of no LED that can handle a current too high for a "normal" diode.

Erik