LTT ON SID HAD PROB WITH COM AND SOME CONFUSION WITH ASSIGNED HDGS TOWARD INBOUND TFC AT O'HARE.

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WE DEPARTED FROM THE PALWAUKEE ARPT USING THE PALWAUKEE 2 DEP. WE WERE ASSIGNED A 290 DEGS INITIAL HDG. AFTER TKOF; THE TIME UNTIL WE WERE HANDED OFF TO O'HARE DEP WAS LONGER THAN NORMAL (THE CTLR WAS BUSY). WHEN WE DID GET HANDED OFF; THE NEXT CTLR GAVE US AN IMMEDIATE R TURN TO 040 DEGS. THIS WAS UNUSUAL. AT THAT TIME HE SAID WE HAD TFC AT 12 O'CLOCK. THERE WAS A 737 ACFT ABOUT 2 OR 3 MI AHEAD AT THAT TIME. I THINK THAT WHEN O'HARE IS USING RWY 14L AND PALWAUKEE IS USING RWY 16 WITH A R TURN ON DEP THE HDOF NEEDS TO BE DONE IN A MORE TIMELY FASHION. NORMALLY IT IS A TURN TO A MORE NORTHERLY HDG. THIS WOULD HELP TO STOP THIS FROM OCCURRING. THE TURN WE WERE GIVEN TO 040 DEGS ALSO SEEMED A BIT UNUSUAL. BEFORE WE GOT TO THE NEW HDG; WE WERE ASSIGNED EITHER A 360 DEGS OR 340 DEGS HDG FROM THAT POINT WE CONTINUED ON COURSE. SUPPLEMENTAL INFO FROM ACN 261901: ON 1-X-94 I WAS ADVISED BY MY CHIEF PLT OF IMPENDING INVESTIGATION BY THE FAA CONCERNING THIS SIT. WHILE I DON'T REMEMBER EXACT HDGS OR ALTS; I DO REMEMBER FOLLOWING AND COMPLYING WITH ATC INSTRUCTIONS. I THINK THE PROB STEMS FROM THE INITIAL HDG ON DEP BEING ASSIGNED AS A WESTERLY HDG. IN A JET ACFT; IT IS DIFFICULT TO REMAIN WITHIN 1 NM OF THE ARPT AFTER FOLLOWING OUT OF THE TURN. I WOULD RECOMMEND THAT ALL ACFT ASSIGNED THE PALWAUKEE 2 DEP BE ASSIGNED A MORE NORTHERLY HDG INITIALLY. ADDITIONALLY; THERE WAS NO COM BY ATC THAT WOULD INDICATE THAT THE TFC RPTED TO US WAS IN IMMINENT DANGER OF A NMAC.