The point was to intercept a radial, not to go direct to the station. If ATC tells you to join an airway or a radial, they don't want you to go to the VOR (they may start asking about the accuracy of your instruments). Again, just as everything else with tracking courses, you try a heading that you think will put you in the right direction. You fly it for a short time and see if the needle behavior confirms that the guess was correct (the needle should be trending towards center). If it's wrong, adjust your heading and try again.
Once it gets close to center then pick a heading that you think will keep you on the radial (usually it's close the the radial or its reciprocal). Again, you watch the trend of the needle, if it starts to swing away, pick a new heading and try again. What you don't want to do is just spin the OBS and center the needle or just keep turning right or left to chase the needle.