My view is that if you want to practise an ILS or any other kind of approach anywhere, use a flight sim. There are a number of decent aircraft you can use or download if you want to make it more realistic. I have an IMCr and use FSX a lot to practise, or try approaches at different airports. Its much cheaper too ;-) You can download an AIP approach plate, and practise as much as you like without having to try and explain to ATC what you want to do and why.
If you want to do it for real (and why not - its exciting and challenging), then sign up for IMC lessons or do the flight with an instructor. That will give the flight a bit more legitimacy, and the instructor can guide you if the controller asks you to do something in flight you havent done before, or says something on the radio you havent heard before. He can also advise on the correct procedure for adjusting and maintaning height and course.
Otherwise as Level Attitude says, do a long straight in approach and keep a look out and maintain whatever altidude (above or on the glideslops) that you think is safe. There is something somewhere on PPrune about being not allowed to practise approaches without a safety pilot. I cant remember what conclusion was reached or if its different now, but unless you know for sure, your in potentially murky waters.