drauk is quite right. I had to position fix (VOR/DME is fine if the aeroplane has it and is very easy) and then track to a nearby VOR for a few minutes. I wasn't asked to intercept a particular radial, just find what I was on at that moment and track in on that. I did it at the same time as the 180-degree turn on instruments (not exactly the same time, of course....)
Practicing with a flight simulator is a good idea. Just make sure you can select and ident a VOR, track to and from it, and understand when you're using the OBI as a command instrument (say that you are on the 270 radial, the OBI has the 270 radial selected and the wind is from the south, so it's blowing you northwards off the radial. Do you understand the different behaviour of the CDI if you have a magnetic heading of 270, compared to a magnetic heading of 090). It's slightly over the top for the PPL, but it's worth making sure you understand the instrument - I know someone who got a partial because they tracked from a VOR when asked to track to it.