I'm going to have to pull out the book so don't take this as gospel.
But, in your situation I would first load the approach for the
destination airport and select vectors if not doing the full approach.
This will allow you to use the heading bug for the early part of the
approach. You could also select the approach with the proper IAF fix.
This will load the waypoints you will need (IAF, FAF, Missed Approach
holding waypoint). These will display on your GPS. So, if you now want
to go to the IAF, activate the cursor, highlight the IAF and press the
direct to button. You will need to press APR on your autopilot. You
should see APR and Nav ARM. You are set up at that point. Once at the
IAF, it will capture NAV and put you on course and then capture the ILS
if that's what you are shooting. If not an ILS (ie the GPS approach),
then you will select a missed altitude, deactivate the alt button and
select a desired rate of descent by pressing the down button until you
see the negative number you want (say -700).

Don't try this alone. Like another poster, I've been off this system
for almost a year and this is from memory. Go out with an instructor
and play until you know it cold. Once that happens you will begin to
appreciate how good the KLN 94 and KAP 140 really are.

Mike