Ahramin----no, unless you had a reason for not following the SID you would stay in NAV with or without the A/P engaged.
If you had a pre programmed Engine out SID you would insert it and stay in NAV.
The only time you would pull HDG would be if you needed to cancel the SID and turn or fly straight ahead. ( edited to keep Bloggsy happy )
Last edited by nitpicker330; 26th Feb 2014 at 08:39.