I assume you are in an aeroplane, which is stable, trimmed, and wants to hold its heading. This is not the case in a helicopter, which wants to bounce all over the place and jiggle that stupid magnetic compass out of its bowl.
So, try this:
1. Over your first point, turn onto the TRACK for the leg, hold it steady, and look ahead. You will be drifting with the wind while shooting this sight line, so don't take too long.
2. Pick 3 features that are lined up on this track - maybe a shed, or distinctive treeline, or a funny hill, and REMEMBER them. (Don't fall for a shadow, as it is moving)
3. Now set up your planned heading, and check that it is taking you along the sight line. If it isn't, fix it. And write the new heading down.
4. As you pass over one sight point, pick another in the distance, still in line with the remaining 2.
IT WORKS!!