SMA PLT DEPARTS VFR; HAS DIFFICULTY OBTAINING IFR CLRNC. WHEN ACCOMPLISHED; HE HAS HDG DEV; ALTDEV.

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AFTER TKOF FROM VIRGINIA TECH - BCB (2100 FT MSL); I CONTACTED ROANOKE DEP ON 126.9 AT APPROX 3000 FT. THEY ASSIGNED; AND I COMPLIED WITH AN ASSIGNED SQUAWK. I THEN ATTEMPTED TO OBTAIN AN IFR CLRNC TO 54A WHILE CONTINUING TO CLB IN VFR CONDITIONS. THE CTLR CONFIRMED RADAR CONTACT AT 4000 FT; BUT REFUSED TO GET/GIVE ME A CLRNC INTO IFR CONDITIONS UNTIL; AS DIRECTED; 'I COULD MAINTAIN 5000 FT IN VFR CONDITIONS.' THE CEILING WAS VERY RAGGED AND I FOUND A SMALL HOLE IN WHICH I COULD CLB TO 5000 FT. VISIBILITY WAS POOR; 3/5 MI. IN ORDER TO MAINTAIN CLOUD CLRNC; I WAS AT TIMES HAVING TO MAKE STEEP TURNS. AS I WAS COPYING THE CLRNC IN A STEEP TURN; MY ALT GOT UP TO 5400 FT; TO WHICH THE CTLR 'THREATENED VIOLATION' -- EVEN BEFORE I READ THE CLRNC BACK. I THEN TURNED IN THE DIRECTION OF MY FIRST FIX. SHORTLY AFTERWARD; THE CTLR REQUESTED MY HDG; TO WHICH I REPLIED. AFTER ANOTHER COUPLE OF MINS THE CTLR ADVISED THAT RADAR HAD ME 10 MI N OF COURSE; TURN L AND CLB IMMEDIATELY TO 7000 FT AND TO MAINTAIN TERRAIN CLRNC. I COMPLIED. I FOUND THAT MY DIRECTIONAL GYROSCOPE WAS ABOUT 40 DEGS OFF COMPASS HDG. I PRESUME THIS WAS CAUSED BY THE STEEP TURN MANEUVERING WHILE ATTEMPTING TO CLB TO 5000 FT. I AM 'REASONABLE' CONFIDENT I SET RWY HDG ON THE DIRECTIONAL GYROSCOPE AT TKOF. THE REST OF THE FLT WAS UNEVENTFUL. LESSONS I LEARNED WERE: 1) DO NOT LET MYSELF GET TRAPPED WITH A CLRNC THAT REQUIRES STEEP TURNS TO REMAIN VFR. I BELIEVE THE CTLR COULD HAVE ISSUED ME A CLRNC AT 4000 FT -- FULLY WITHIN VFR CLRNCS. 2) RECHK; RECHK; RECHK THE ACCURACY OF THE DIRECTIONAL GYROSCOPE WITH OTHER INSTS ON BOARD.