The above is only correct if you're using a DG; it is incorrect if you
have an HSI! If you set the heading bug to the localizer course, you
will never intercept the localizer.
Assuming you have an HSI and you are in HDG and ALT mode, you have set
the (yellow) localizer front course on the HSI. Now all you have to do
is press APR at which time the APR ARM indication lights up. You can
set the (orange) heading bug to any intercepting course you want.

Gerd, ATP