I agree with the poster above, if I am in hold at LHR (as I seem to be twice a day sometimes) I would take up an assigned heading as soon as it was given. If the intruction was return to BNN and leave heading xxx then thats what I would do. Some controllers seems to use the phrase "heading now. 130" which would seem to clear up any confusion.
By the way, I assume that all the app. controllers for London TMA are now at Swanwick with everyone else, how is going there?. Seems to be OK from our point of view.