Much of the time, in some complicated procedure, one ends up flying in HDG mode (and using the "track ahead" line on the GPS ..... if you have one) because then it does exactly what you want
Exactly. I now have a S-TEC 60-2 (similar to the KAP140) and an Aspen EFD1000Pro with GPSS. Ever since I got GPSS, I have never used anything but HDG mode -- only exception when flying an ILS using the autopilot.
The Aspen (more specifically its Air Data Computer) has a lot more information available than the autopilot and can do a much better job calculating the appropriate heading. I consider GPSS the biggest improvement of GA autopilots ever.