I think the most common scenarios in real-world IMC flying are vectors to an ILS or RNAV(GPS) final approach course, or an RNAV(GPS) "T" approach.
Try this out in VMC first, always. Here's how you would fly those two scenarios:
Vectors to final:
1) GPSS on and autopilot in HDG and ALT until you're on vectors
2) Once you get a vector,
turn GPSS off to fly the bug. Autopilot will still be in HDG ALT.
3) After you get your approach clearance (ie, you're on the final vector to intercept),
hit APR to arm approach mode. Display will say "HDG", "APR ARM", and "ALT"
4) The autopilot will intercept the final approach course automatically, at which point the display will say "APR ALT" and "GS ARM".
5) The autopilot will capture the glideslope automatically, at which point it'll say "APR GS".
T approach (RNAV LPV):
1) GPSS on and autopilot in HDG and ALT. This time, leave GPSS on for the moment since you're not on vectors.
2) After you cross the IAF, the autopilot will turn to fly the base leg automatically. Autopilot still in HDG ALT and GPSS on.
3) Approaching the IF, the GPSS will give you a perfect turn onto the final approach course for the intermediate leg. Autopilot still in HDG ALT and GPSS on.
4) After the autopilot has completed the turn onto the FAC and you're established on the intermediate leg,
hit APR and turn GPSS off. Display should go straight to APR ALT and GS ARM.
5) The autopilot will capture the glideslope automatically and switch to APR GS.
For clarity's sake: The intermediate leg is the one where you're on the final approach course, before the FAF, flying level... After you've turned in from the base leg, but before the descent.
So, they're pretty similar, the difference is just when you hit APR and when you turn off the GPSS. They happen at different times on vectors to final, and at the same time on the T approach. The reason you disable GPSS once you're on vectors is because the autopilot will capture the final approach course on its own - If you try to leave it in HDG mode and intercept final prior to switching over to APR mode, well, you'll never do it as well as the autopilot will!
On a GPS approach (without vectors), we use the GPSS to make the turn onto final because the autopilot will overshoot the final approach course big-time if you do a 90-degree intercept. In fact, it'll probably go full deflection to the other side quicker than it can even start the turn, and just start wandering off into space randomly (you can probably guess how I know this).
Hope this helps!