I was using X-Plane for an IFR flight this morning. I received a departure instruction of "turn left 088, then direct <IAF at destination>". Normally as a VFR pilot I turn to the requested heading given by ATC after reaching 500 AGL, but what's the proper procedure for the next segment? It just so happened that 088 led me to intercept a direct line from the departure airport to the IAF at the destination so I turned on course there, but should I have climbed up to my assigned altitude on the 088 heading before proceeding direct? I'm guessing climbing up to a defined altitude would be more logical and is probably what would be expected.