Ben, it depends upon what you're hoping to accomplish. If you would like to follow an "airway" which is defined by a VOR radial, you'll dial in that radial, and fly the plane so as to follow it with the needle centered. You'll have to correct for the crosswind - without resetting the needle.
If you would like to "go direct", dial the VOR indicator until the needle centers, and again, fly so as to maintain it centered. Like going direct with other forms of nav, you are now "off airways" and responsible for your route (in terms of airspace and minimum altitudes).
You would like to avoid resetting the VOR once underway. It can be tempting, finding yourself off course, to simply reset it. Instead, fly the plane back to the VOR radial you selected the first time (assuming you still want to fly to that place). Otherwise, you'll find that you flew a greater distance spiral route toward the VOR