Boeing recommends pilots to intercept the localizer before the glideslope becomes active or "alive". And that is not just a  company recommendation, it's kind of a general rule of thumb in aviation

If they are not handflying the approach, they make use of Heading select, LNAV or VOR/LOC. Now, the sim differs some ways from the reality.

Heading select is the same in the sim

LNAV= The sim has a similar function, if you fly your IFR route by using the GPS for navigation. Although you can't add waypoints to your route in FS2002, so you won't be able to intercept the localizer by letting the GPS do the navigating.

VOR/LOC= The name says it all, use this if you want to fly a certain course to or from a  VOR station or if you'd want the aircraft to intercept the localizer. FS has a funciton like this, and that's the navigation Hold. But I find it very shaky and not reliable at all


I highly recommend you to use the Heading Select!

OTTOL, screw ATC, we both know the FS2002 ATC has a nice habit of giving you tight turns on finals. No time to be established at all really,
   

And I think I might've misunderstood his question. He wants to intercept the slope, not to be established on a  nice glidepath, no? If the case is yes, then my answer is worth just as much as a bucket of gravel in the desert...

And speaking of ILS approach functions. I find it rather interesting that the old TriStars are more accaurate on their approaches than newer airliners from Airbus and Boeing. Geez, those L-1011's still around is some 20 years old or so  

Edit: It's 04.30am here, I make reservations for eventual typos and misunderstandings, I'm lucky to even spell my name right.

Oh, the TriStar comparison is from real life, not drawn from the sim. Overall, the TriStar has (according to pilots) the best AP's of them all. Smooth, reliable and not over-complicated. For instance, the AP on a L-1011 outmatches its B737NG counterpart when comming to pitch and roll commands. On Autoland, the aircraft even lowers the nosewheel by itself, impressive when considering how old the technology on the Tristar is.

Back to the Sim. I think that the AP..and especially the APP mode is very shaky. For me it's enough to be offset maybe 1-2 degrees from the runway's front course, and the AP will go nuts when engaging the approach hold. No thanks, but I rather trust my own instrument skills than trusting the default autopilot. This is also a reason why I support paware: They always comes with a re-written and enhanced AP..where the Automatic Flight System=AFDS(FCC+MCP)+ A/T logic of real aircrafts are copied. Maybe not 100% accurate, but the flights are much smoother. How much would it take Microsoft to buy that programmer code?  I can pinch in with a dollar or 2

Chasing needles is not one of my turn on's.
Only reminds me of my early days as a sim pilot with poorly planned and executed approaches. 

Anyways, Jrpilot sent me a PM and the aircraft he uses is the 777. I sincerely hope this is okay with Jrpilot that I share the private message he wrote. No question is ever stupid or dumb, and I can assure you that there are others reading this who will benefit from this

"Hello,
    Thank you for answering my question.

I have heard people telling me to put the APPRAOCH (APR) on but were do I find this at on the Boeing 777 for example. Do I put the ILS frequecies in the radio stakes then hit this APR button.
  Any help would be great.

Thank you "

The approach hold is a very handy function inplemented in the sim. The autopilot will follow the ILS signal and establish you on a nice glidepath and at the same time keeping the aircraft aligned with the runway. But as OTTOL already stated, the autopilot sometmes goes bananas and completely ruins the approach by wiggeling to left and right and not follow the glidepath at all. That's a major drag I tell you 

But enough of that, lets get to how you activate it:)
Let's say you're cleared to land at runway 26 by ATC. The first thing you would do is to dial in the correct ILS frequency in your NAV1 radio. The chances are pretty big that ATC will have you to make a tight procedure turn (final turn before runway alignement), so it's a plus if you plan your approach one step ahead. Altitude is important, ATC will usually tell you to be at 2100-2300ft when you will capture the glideslope

Anyway,You should  have the localiser (the magenta diamond which moves from left to right) at the center position on your PFD-screen BEFORE the glideslope (magenta diamond which moves up and down) becomes active. Active means when the diamond turns from just magenta outlines to a solid magenta color.
So maintain around 2100 feet and slowly watch the glideslope needle move downwards on you display screen.  When the diamond is 1 dot, or less above  the middle you can activate the APP function which is located between the speed and Heading boxes on the glareshield panel. The autopilot must be turned on, and I recommend you to use the autothrottle to maintain your speed. Oh, I almost forgot, you should be configured for finals before activating the APP mode. By this means landing flap setting (25 or 30 for the 777), landing gear down and a good pitch trim setting. This will decrease the chances for an autopilot approach mayhem 

I hope I got something straightened out for you. English is not my mother tongue, so I hope you atleast understood my grammar 

Good luck!