I must ask, because I don't quite understand yet, how do you fly VOR
Assuming you already did the lessons...(I felt that wasn't very well explained, did anyone else feel that way?)
When navigating by VOR, I have a scrap piece of paper to take down the frequencies and headings from the checkpoint page of my kneeboard. Then I set the frequency on the Nav portions of my radio. Lastly, I set the headings on my VOR gages by turning the OBS knob till the heading I want is at the top (or the arrow is pointing the direction I want, depending on the gage).
The needle in the gage moves to indicate whether you are to the right or left of the VOR line (keep in mind that it doesn't know what direction your aircraft is heading).
You can also use the GPS to help check this (I use the GPS more to determine my ETA and airport navigation). Some people may feel using the GPS is cheating, but I say the goal here is to HAVE FUN!!!

By the way I have noticed that even though the needle says I am on course, I am flying parallel to the line according to the GPS display. Is this how it's supposed to be, or am I setting the direction wrong?
Anyway, there you have it (mostly). This is a bit daunting at first, but it gets easier as you play with it.