In the last 3 companies I have worked for - types being Atr42, 146/rj and 737, the SOP has been the same. Once established on either localiser or vor inbound, set missed approach heading.
Sounds like a good procedure in some airplanes, and in other airplanes in some circumstances...
In an FMS-driven airplane like the 744, though, missed approach is more likely to be done in TOGA until 400-500' AGL, then LNAV, as long as the MAPP is in the database (most cases). Vertical mode may be changed to VNAV or FLCH at ~1000' AGL, depending on the procedure.
Even in the 744, though, if the situation dictates a MAPP that will use HDG SEL instead of LNAV, presetting that heading may be a good idea. It should be discussed in the approach briefing.