So if you are approaching the VOR at say 240 Deg from the VOR and wanted to exit the VOR on the 60 Degree radial you would set the OBS to 60 deg.
You can centre the CDI with two OBS settings: The radial you're on and its reciprocal. Set the OBS to the one that's closest to what your compass says and you'll get the correct TO/FROM flag and needle sensing, no matter whether the VOR is in front of you or behind you.