In depends on what TYPE of approach you are doing. If it's just a VOR or localizer approach, either one will perform the same function: enable the autopilot to follow the course which you have set. The next step is a little tricky. If you are flying an ILS approach, SOME autopilots require that you engage the NAV button, and then once you are centered on the Localizer, engage the APP(approach)button to enable Glideslope capture. The autopilot will now follow the glideslope when it centers. More modern autopilots will capture Loc AND GS when the APP button is engaged. You will also find that if the approach intercept angle is to extreme(re: horizontal guidance), due to strong wind, bad vector etc. .   You MAY have to use the heading bug to align the aircraft and THEN engage the APP button.