How to measure power dissipation through each component in PCB board?
It depends why you want to know.

If you want to verify that your simulations are an accurate representation of your design, then measuring voltages at various nodes would be better.

If you want to establish that none of your components are going to fail too early from over-dissipation, then you want the temperature, not the power dissipation per se. 

When a component is rated at (say) 250mW average, it's an estimate, by the manufacturer, of what power can be dissipated long term, with a guess at how the end user (you) has got it configured on the board, while keeping the hottest part of the component below some critical temperature. 

As the user, you have the luxury of not having to guess how it's soldered, to what size heatsink, with what airflow, with how big a solder fillet. You can just plain measure the temperature! Measure the case, the hotspots, the surroundings, and compare those with the maximum temperatures the manufacturer gives for reliability.