CAPT OF ACR MLG FAILED TO SLAVE THE HDG GYRO WITH THE MAGMETIC COMPASS DURING TKOF CAUSING A DEV FROM ASSIGNED TURN HDG AFTER TKOF.

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DEP PROC CALLED FOR INITIAL TURN TO 175 DEGS. AT LIFTOFF WE WERE ALREADY ALMOST ON THAT HDG -- APPROX 40 DEG FROM WHAT RWY HDG SHOULD HAVE BEEN. I MUST HAVE MISSED ON MY XCHK AS WE TOOK THE RWY THAT THE COMPASS HDG WAS OFF. FO HAD SET HDG BUG TO 175 DEG WHICH WAS JUST ABOUT LINED UP WITH THE RWY. I NORMALLY SET HDG BUG TO RWY HDG WHICH MAY BE WHY I MISSED THE MISALIGNMENT OF THE COMPASS AS WE TOOK THE RWY. DEP CTL HAD GIVEN US A COUPLE OF HDG CHANGES VERY SOON AFTER TKOF BEFORE WE HAD A CHANCE TO CORRECT AND SLAVE THE COMPASS WITH THE MAGNETIC COMPASS. WE RPTED OUR COMPASS DISCREPANCY TO ATC AND HE CONCURRED THAT IT LOOKED LIKE THE HDGS WE WERE FLYING WERE ABOUT 30-40 DEGS OFF WHAT HE ASSIGNED. HE ADVISED US TO LET HIM KNOW IF ASSISTANCE WAS NEEDED. BY THIS TIME WE HAD CORRECTED THE PROB AND ADVISED ATC. I RECALLED THEN SEEING A NOTAM WARNING OF COMPASS INTERFERENCE AT SOME OF OUR GATES DUE TO UNDERGND STORAGE FACILITIES AT LGA. THE FLT PROCEEDED WITH NO FURTHER DIFFICULTIES. I ALWAYS CHK COMPASS FOR PROPER ALIGNMENT BEFORE TKOF; BUT THIS TIME I MUST HAVE 'LOOKED WITHOUT REALLY SEEING.'