Can't Change Heading with Autopilot On

Once plane is at desired altitude, trimmed and level…

Press AP

Press Altitude Hold

You can adjust altitude to a new level and press Flight Level Change

With correct power plane will move to new altitude. You may have to adjust Vertical Speed. Press Vertical Speed Hold and adjust VS.

Put heading bug in the direction you want to fly

Press Heading Hold

Adjusting heading bug will steer the aircraft.

Forced use of the elevators or ailerons (Yoke) or use of rudder will cancel AP