5MB has the story right, DEGREES with any heading ending in a ZERO.
Like LL DIR though, I've always used degrees (and Mb)
In one of my previous existances a/c were often given a heading of 110 (DEGREES) and climbed to FLIGHT LEVEL 100 (WUN ZERO ZERO, as it was then). Not surprisingly it didn't take much for a/c to confuse the two, ending in an incident "with potential" as they say.
Hence "FLIGHT LEVEL WUN HUNDRED", and heading "WUN WUN ZERO DEGREES".
(Actually I used FL90 and FL100 as crossing levels, and always used 085/095/105 as headings... belt and braces as HD says)
Rgds BEX