Not even sure the King Air has an altitude hold.
I rarely fly it, but I believe you have to use the Vertical speed mode in order to maintain a level flight. Once you're at desired altitude flip the VS to zero.

but again, I'm not really good at the King Air  

Edit: Just tried it, there is indeed an altitude set function. You can find it to the right of the ITT gauges, can't miss it =)

I should really fly them more often 

In the VC panel its right in the middle of the panel called Alt set.in 2d panel its at the upper right hand corner.just set the alt turn AP on and click the alt on the AP buttons.