If your airplane is equipped with a heading bug, it’s almost certainly because it has an autopilot. In the autopilot’s heading mode, setting the heading bug will keep the airplane tracking a consistent heading. But when the autopilot is off, don’t ignore the utility of the bug.
If you’re at a towered airport, set the heading bug when air traffic control assigns you a departure runway. You’ll always remember where to taxi to, and it’s helpful in tracking the runway heading after takeoff.
Don’t forget about the bug once in the air. When coming in to an airport, it’s sometimes difficult to visualize the runway layout. Put the heading bug on the runway orientation for your anticipated landing runway, and you’ll have a helping hand in picturing the runway layout.