It makes sense to remain in HDG with a great big VOR displayed until the CDI is centered in my books, then once established, TRK mode. Remember these are guidelines by sense must prevail.
Personally I would fly it with ARC or NAV mode displayed with the VOR on the needles. You get better situational awareness that way.
On the intercept heading with just a few miles to run (ARC mode helps here) switch to TRK/FPA. The heading won't change much in a few miles despite flying track.