Not safe or legal. The FAA feels so strongly about this you will get
this question on your IFR exam.

Doug wrote:
Several times, while under IFR flight plan and radar services, I have
been vectored to intercept the localizer and the controller was late
in turning me into the localizer. This usually happens when I need
about a 90 degree turn to the localizer. I have decided not to wait
for his vector and just turn. This has always been when the freq is
busy. There is a very small time window to turn (about 15 seconds), so
if the freq is busy, I can't request a turn before I am past, so now,
if this happens, I just turn. I told a CFII this and he said, ok, but
its not really the legal thing to do. I believe it is the safe thing
to do, and therefore legal. Any opinions from the group?