I'm trying to figure out the right way to use the AP for an ILS. The
manual isn't clear on this situation. Assume that I have a vector to
intercept the localizer and have been cleared for the approach. Let's
say that the intercept angle is less than 45 degrees.

I'm starting in HDG & ALT hold modes.

Can I just press APR to get it to intercept the localizer? Or do I
need to press HDG to get into ROL mode first (because the intercept
angle isn't 45 degrees), then press APR?