Further to Flymia's advice, the 'Course' setting is also important when using ILS.
Suppose you want to line up on 'Runway 14'? You check the map and find that the actual runway line is 137 degrees, and set that as 'course'. Then tune VOR1 to the ILS frequency. The Horizontal Position Indicator will now be showing the 137-degree direction as a long arrow, and the actual runway line as a shorter parallel line above or below it.
You now want to intercept the runway line. So set the 'heading hold' to say 100 degrees (a converging course). Leave 'heading hold on', but also click on 'APR' for approach.
As you approach the runway line (you will see the shorter line moving closer to the set 'course') the ILS will cancel the 'heading hold' and turn you on to the course for the runway. In due course it will cancel 'altitude hold' as well and start you down the glidepath.
Next step is to turn off the autopilot and try doing the same thing 'visually'.
"Once you have flown, you will walk the earth with your eyes turned skywards.." - Leonardo da Vinci