Someone here did an excellent tutorial with pics not so long ago. Maybe someone would be kind enough to post the link?
A brief summery of what I do.
1. Get the runway's ILS freq and heading from the FS9 map. (click on the airport, etc.)
2. Put that into the Nav1 radio.
3. Put the rwy's hdg into the nav or course heading selector.
4. Fly to the airport as you do useing GPS until you are 25 miles away holding about 4000ft above ground level.
5. Switch the GPS/NAV switch to NAV, the bar in the center of the nav display should move to one side.
6. Useing the autopilot's normal heading fly at an angle so to meet the ILS 'beam'. (Think of an imagainary line that extends inline with the runway for about 20 miles).
7. Press the NAV switch on the APilot. BOTH the NAV and HDG switches should be lit.
8. As the plane meets the beam (or 'localiser' as ATC and others often call it) the HDG switch on the AP should turn itself off.
9. Press the APP (approach) switch on the AP and the NAV switch will turn off.
10. You are now on full ILS, the plane will follow the beam right down to the end of the runway.

Simple once you know what to look for. Try it at the default KSEA as the plane is always already programed with the runway's hdg and ILS freq'. Just remember to always intercept the glide slope beam from below. You'll see the marker next to the HSI (artificial horizon) as either a small yellow or magenta arrow. You can just see this in the picture, on the left next to the altimeter. If it's above the center line, you're ok, below and you need to loose some height before pressing APP. Hope this helps, have fun!