APP yes, rudder no.
As said previously, the whole VOR/LOC or APP thing is a matter of what is installed in the a/c. I've flown classics that had written "arm VOR/LOC" first in the FCOM (8-10 years old FCOM's) and as Alexban said, indeed, there are FCOM's that say "arm APP" for an ILS.
In my opinion, there is no prob to do either, as long as you properly monitor the approach, however, best thing to do is to stick with your company's procedures.
As for the rudder use during ILS, please forget it, it is wrong (as a piloting technique) even in a C-172, although I have to admit, it works.
I personally belive it's sort of a "cheat" in a small plane, it is something you should not do in a transport.
BUT: that does not mean you should have your feet on the floor during an ILS in the 737!