I agree in principle with Stan Woolley – keep it simple. Unfortunately, life and flying are not always simple; I would not advocate setting the Alt Sel to the circling minima.
To combat the continuing risk of approach accidents / CFIT on non-precision approaches, the industry is promoting CANPA, which should include the procedure of using MDA as a DH / DA i.e. nothing seen then fly a missed approach. Thus for this operation, it is more appropriate to set the Alt Sel to the climb-out missed approach altitude; it discourages level flight at MDA (or even lower – never set the airfield alt on the Alt Sel).
For a circling approach, it would be appropriate to use the Alt Hold mode to circle. This is not quite as described by zekeigo, the Alt Sel should still be set for a missed approach. The concept of an Alt Sel is that the value is an altitude at which the aircraft will level off at and maintain; this does not apply to a precision DH or MDA under CANPA.
The missed approach from a circling procedure is always based on the approach. If visual references are lost during the circling procedure, then commence a turn towards the airfield and then establish the missed approach procedure. In some situations this may require a turn / orbit overhead the field, but always turning towards the safe side of the procedure
Another aspect of circling is that in some aircraft the circling manoeuvre is flown in an intermediate configuration, thus flying the correct airspeed is an important factor in staying within the safe area. If local authorities change the circling speed, the assumptions / safe area should be published on the chart with the speed restriction, but beware!
Evidence from accidents shows that approaches go wrong very early in the approach; many due to a poor brief. As NPA’s and circling procedures are flown less frequently then it is more important to brief them as something ‘non-normal’ and that they are different. Start with a mind-set that that circling is unique and that all landings are ‘an approach without a go around’.