INSTRUCTOR WITH NEW MULTI STUDENT TURNS DOWNWIND INSTEAD OF CONTINUING ON ASSIGNED HDG ON TCA CLRNC.

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I WAS GIVING A MULTI-ENG INTRODUCTORY LESSON IN AN SMA TWIN. A VFR FLT PLAN HAD BEEN FILED FROM MYF TO HII; CRUISING AT 9500 FT. THE PURPOSE OF THE FLT WAS INSTRUCTIONAL IN NATURE; BUT THE DEST HAD BEEN CHOSEN BECAUSE THE STUDENT HAD BUSINESS TO ATTEND IN LAKE HAVASU CITY. DURING THE INITIAL TAXI; TKOF; AND CLBOUT PHASE OF THE LESSON; I HANDLED ALL THE RADIO CALLS. THE STUDENT WAS SOLE MANIPULATOR OF THE CTLS OF THE ACFT FOR THE ENTIRE FLT; FOLLOWING MY INSTRUCTIONS. WE WERE GRANTED TAXI CLRNC AND TOLD TO COPY THE TCA CLRNC FROM TWR PRIOR TO DEP. RWYS 28R AND 28L WERE IN USE; WE WERE CLRED TO 28L. HOLDING SHORT OF 28L I REQUESTED FROM GND CTL PERMISSION TO CROSS TO 28R FOR A R DOWNWIND DEP. XING CLRNC WAS GRANTED. WE CROSSED THE L AND PULLED INTO THE RUNUP AREA SHORT OF THE R; AND COMPLETED THE RUNUP PROCS. TWR CONTACTED US AND OFFERED OUR CLRNC WHENEVER WE WERE READY TO COPY; WHICH I ACCEPTED. THE CLRNC READ; 'SMA IS CLRED INTO THE TCA; AFTER DEP HDG 270; MAINTAIN 2000 EXPECT HIGHER IN 10 MINS; DEP FREQ 119.6; SQUAWK TO BE ASSIGNED BY TWR.' MY READBACK WAS PRECISE; BUT ENTIRELY MECHANICAL. IN MY MIND WE WERE GOING TO MAKE A R DOWNWIND DEP; WHICH IS HOW I HAVE ALWAYS GONE FROM MYF TO JLI; EVEN WITH A TCA CLRNC. THE TWR CTLR AND I ARE ACQUAINTANCES AND WE EXCHANGED FRIENDLY GREETINGS INCLUSIVE WITH OUR REQUIRED RADIO TRANSMISSIONS. APPROX A HALF MIN LATER; THE TWR CTLR GAVE US OUR SQUAWK CODE AND A CLRNC FOR TKOF ON RWY 28R; ALONG WITH WISHES FOR A NICE FLT. I RESPONDED WITH 'ROGER; CLRED FOR TKOF; R DOWNWIND. ROLLING.' TO THIS; THE TWR CTLR MADE NO CORRECTIONS OR COMMENTS. WE CLBED THROUGH 800 FT MSL AND WERE HANDED OFF TO APCH BY THE TWR. WE TURNED R XWIND AND DOWNWIND BEFORE I COULD GET TO THE RADIO TO CONTACT APCH. SMA: SAN DIEGO APCH; WITH YOU AT 1200 FOR 2000. SAN APCH: ROGER; RADAR CONTACT 1 MI NO OF MONTGOMERY FIELD; SAY HDG. SMA: HEADING 080; (SUDDENLY; I REALIZE OUR ERROR IN TURNING DOWNWIND). SAN APCH: WHAT HDG WERE YOU ASSIGNED BY THE TWR? SMA: 270. SAN APCH: CONFIRM YOU WERE ASSIGNED A HDG OF 270. SMA: THAT'S AFFIRMATIVE; 270. MY MISTAKE; SIR; WE ARE CURRENTLY CLR OF THE TCA AND COULD SQUAWK VFR AND CANCEL OUR TCA CLRNC IF YOU LIKE. SAN APCH: SMA; STANDBY. SAN APCH: SMA CLRED DIRECT JULIAN; THROUGH THE SAN DIEGO TCA. SMA: OKAY; WE'RE CLRED DIRECT JULIAN; AND I APOLOGIZE FOR THE ERROR; SIR. THAT'S MY BUST. -- AT THIS TIME WE WERE HANDED OFF TO ANOTHER APCH SECTOR. WE HAD BY THIS TIME CLBED ABOVE OUR ASSIGNED ALT OF 2000 FT; BUT ONLY AFTER WE WERE WELL UNDERWAY EBOUND. HONESTLY; I WAS RATTLED ENOUGH BY THE HDG ERROR THAT I HAD NOT BEEN CONCERNED WITH THE ALT RESTRICTION. I REALIZED THAT WE WERE ALMOST TO 3000 FT BUT I FIGURED THE INITIAL 2000 FT RESTRICTION WAS FOR OUR ASSIGNED WBOUND COURSE ANYWAY. UPON CONTACT WITH THE NEXT SECTOR I ASKED IF WE WERE SUBJECT TO ANY ALT RESTRICTIONS AND WAS TOLD WE WERE NOT. THE REST OF THE FLT WAS UNEVENTFUL.