In flight simulator, using the NAV setting directs the Autopilot to follow the FMS' pre-setup flight plan and will navigate the aircraft through each of the configured waypoints.
In real life, however, it seems almost a guarantee that ATC will provide some heading which is not necessarily the most direct route, ie. what your flight plan had configured. ATC will request you turn right or left somewhere around the waypoint you expected, but not where you or the NAV system would have turned.
Even in the simulator, if you use the built-in ATC, it will give headings that are not what the flight plan had expected... making the NAV button not very useful except when flying VFR without following.
It seems the autopilot HDG feature is used more often. Is this true in real life as well?