I just recently learned this myself during my instrument training in my aircraft. My old twin only has one VOR/ILS, so I have to switch frequency constantly on the same instrument to catch cross radials. It's a crazy archaic way to do it, but it will have to do for now until I install more fancy stuff. But on my first ILS approaches I set the track in the OBS, then switched and turned the OBS for my stepdown radials. My instructor just said don't bother setting the ILS track (but know it), just set the next cross radial, as the ILS will be the same whatever you put in. It was a great revelation and it reduced my workload from insanity, to just crackers..
