If you want to fly a defined approach or departure procedure (STAR/SID) you should capture and follow the radials detailed on the chart.
It takes some practice to be able to fly a VOR manually.
If the aircraft has one, you may be able to use a flight director, which sends autopilot commands to pointers on the HUD or the HDD for the pilot to follow.
An autopilot in VOR mode should work perfectly. It is one of the simpler modes to implement. If it does not please report your problem.
Finally, do not try to capture a VOR radial if you are too close to the station.
The trick when flying VOR manually is to control the heading, not the bank angle.
So if the VOR beam is to your left, look at the compass and turn left a few degees. (dependent upon how large the error). Maintain that new heading and watch the VOR error. If it decreases, all is well. If it increases adjust your heading a few more degrees to the left. As soon as the VOR error starts to reduce you can fly right on a heading that is closer to the VOR radial, but still is on an inteception course.
To continue following the VOR beam keep turning left or right by a small amount, always using the compass as a reference for your heading. You must always keep in your head both the VOR radial and the compass heading that you are currently using.
If you try to follow VOR using just aileron and bank angle you are making things very difficult.
I hope that you can follow this, but think that there must be clearer explantions out there on the Internet.
Alan