Our SOP's request you to use PF VOR than switch to ILS and change the selector course on base turn.
But if you forget to change the selector course the A/P or F/D will not intercept de localizer. On older models like the 737-200 a wrong selector course was no problem to intercept the localizer.
For that reason I believe it could be better to set ILS frequency and final course at a more relaxed moment (during app briefing) and make a radioelectric x-check with the RMI.