CAPT OF LTT FAILED TO MAINTAIN ASSIGNED ALT DURING APCH INTERCEPT BY DSNDING BEFORE CLRED AND SUBSEQUENTLY PASSED HOLDING FIX DUE TO THE CLOSE PROX OF THE HOLDING FIX.

Narrative

ZMP CLRED US TO 4000 FT APPROX 20 MI FROM THE ARPT. WE ACKNOWLEDGED AND COMPLIED. AT 4000 FT; CTR ADVISED US TO INTERCEPT THE 11 DME ARC FOR THE LOC BACK COURSE RWY 26 AT CWA; AND THAT RADAR CONTACT WAS LOST. AS WE NEARED THE LEAD-IN RADIAL; CTR CLRED US TO INTERCEPT THE LOC BACK COURSE RWY 26. BEING IN THE APCH MINDSET THAT I WAS; I INTERPRETED IT TO MEAN CLR FOR THE LOC BACK COURSE RWY 26 APCH. THEREFORE; I DSNDED TO 3000 FT ONCE INBOUND ON THE APCH COURSE. DUE TO NO RADAR; CTR QUERIED US OF OUR POS. WE INFORMED HIM THAT WE WERE ON LOC BACK COURSE RWY 26. WE WERE 8 DME FROM THE FIELD AND 3.1 DME FROM HATLY WHEN CTR ADVISED US TO HOLD NE OF HATLY AT 4000 FT. WE QUERIED CTR AS TO THE ALT; BECAUSE WE WERE AT 3000 FT. CTR ACKNOWLEDGED TO MAINTAIN 4000 FT. I BEGAN TO CLB BACK TO 4000 FT AS MY FO IS TALKING ON THE RADIO. CONCENTRATING ON THE CLB; I PASSED HATLY BY 3 MI BEFORE MAKING MY TURN OUTBOUND. PROBS NOTED: 1) MY MINDSET WAS PREPARED FOR THE APCH WHILE CTR WAS NOT. THEREFORE I WAS NOT CLRLY LISTENING TO EACH INSTRUCTION. 2) BY BEING AT THE WRONG ALT; I WAS DISTRACTED FROM ENTERING THE HOLD. CORRECTION ACTION: 1) BE MORE ATTENTIVE TO ATC; 2) BRIEF MY FO TO BE MORE ATTENTIVE TO ATC. 3) QUERY ATC IN THE FUTURE; CONCERNING APCH CLRNCS. 4) INFORM ATC UNABLE TO HOLD WHEN SO CLOSE TO FIX AND THAT A VECTOR IS NECESSARY.