UPON BREAKING OUT OF WX ON APCH WITH CIRCLING MINIMUMS PLT TURNED DOWNWIND FOR VISUAL BUT REENTERED CLOUDS. COMMENCED CLB FOR MISSED APCH BUT DID NOT FOLLOW PUBLISHED MAP PROC. CTLR PROVIDED VECTORS FOR ANOTHER APCH AND PLT LANDED.

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ON A RETURN TRIP FROM DROPPING OFF PAX ON A NON-SCHEDULED PART 135 LEG IN SOUTHERN KENTUCKY; I RETURNED SOLO PART 91; IFR FLT PLAN IN IFR WX; TO NILES; MI. AT YA30 LCL I MISSED THE APCH INTO NILES AND FLEW THE ILS RWY 27L INTO S BEND; IN. WX AT THE TIME HAD GONE WELL BELOW FORECAST TO 400 FT CEILING AND 2800 RVR. I SAT AT S BEND MOST OF THE DAY AND AT APPROX XX30-XZ00 PM THE WX IMPROVED TO WHERE I THOUGHT I COULD GET INTO NILES; MI; ON THE VOR 3 APCH. (NILES IS APPROX 7-8 MI FROM SBN.) THIS HAD BEEN A LONG DAY AND I WAS TIRED OF SITTING AND WAITING. I SHOT THE APCH INTO NILES; SAW THE ARPT WITH PROBABLY 2-3 MI VISIBILITY AND 100-200 FT BELOW THE CEILING. (I WAS AT CIRCLING MINIMUMS.) AT THIS TIME I CLICKED ON THE LIGHTS AND ENTERED A L DOWNWIND FOR RWY 32. AS I WAS ON L BASE TO LAND THE ARPT STARTED TO GET LOST IN RAIN AND FOG AND I LOST SIGHT OF THE ARPT; COMPLETELY; SECONDS LATER; SO I EXECUTED A MISSED APCH. I HAVE MISSED THIS APCH BEFORE; BUT NOT FROM THIS SIT. I HAD ALWAYS BEFORE MISSED WITHOUT SEEING ANYTHING; IMMEDIATELY CALLING APCH; AND TURNING TOWARDS S BEND TO LAND THERE. THIS TIME THOUGH; I KNEW I COULD LAND AT NILES ON THE NEXT APCH IF I STAYED N OF THE ARPT WHEN I BROKE OUT THE SECOND TIME; SO ON THE MISSED I CALLED APCH JUST AFTER LOSING SIGHT OF THE ARPT; PROCEEDED TO CLB; AND TOLD THEM I WOULD LIKE ANOTHER APCH INTO NILES. AFTER RECEIVING RADAR VECTORS FOR THE SECOND APCH AND AFTER I WAS GIVEN APCH CLRNC; THE CTLR ASKED ME IF I HAD THE NEW MISSED APCH PROC CHARTED ON MY APCH AND I SAID YES. THE MISSED APCH CALLS FOR A CLB TO 2500 FT THEN A TURN N TO HOLD AT KEELER (ELX VOR). ABOUT 20 MI N OF HERE. HE SAID IT APPEARED TO HIM I HAD TURNED TOWARDS GIPPER (GIJ VOR) AT SBN; WHICH THE VOR 3 IS BASED ON. ON MY BASE TO FINAL FOR RWY 32; I DID PICK UP LIGHTS AGAIN AND LOOKED FOR THE ARPT BUT COULD NOT FIND IT. THIS IS WHEN I STARTED MY CLB TO 2500 FT AND CALLED APCH. I WAS HEADING NW. NOT NE LIKE THE MISSED CALLS FOR. THE MISSED ALSO DOESN'T CALL FOR A TURN TO ELX UNTIL THE 2500 FT HAS BEEN REACHED -- ON THE 046 DEG RADIAL FROM G1J (THE APCH RADIAL). SO WHAT THE CTLR SAW WAS ME CLBING TO 2500 FT AND STILL ON A NW HDG; WHICH WAS MY LAST HDG FROM THE TURN TO FINAL. HOWEVER; I CALLED HIM SO QUICKLY ON THE MISSED THAT I HAD STILL NOT ENTERED THE OVCST ABOVE; AND HAD NOT MADE MY MISSED APCH TURN TO JOIN BACK UP ON THE 046 DEG RADIAL. I SHOULD HAVE IMMEDIATELY MADE THE TURN TO JOIN BACK UP WHILE CLBING AND CALLING; BUT MY BEING TIRED; WANTING TO GET ON THE SECOND APCH; AND EXPECTATIONS LED ON BY PREVIOUS QUICK HANDLING BY SBN APCH; I FULLY EXPECTED QUICK RADAR IDENT (WE UNDERLIE THE ARSA); AND QUICK VECTORING TO THE SECOND APCH; WHICH I GOT. I PROBABLY HESITATED ON THE TURN TO JOIN THE RADIAL BECAUSE I EXPECTED SUCH GOOD SVC; WHICH I HAD ALWAYS GOTTEN BEFORE. THE CTLR SAW ME ON MY NW HDG. IF I HAD STARTED THE N EASTERLY TURN I FULLY EXPECT THAT I WOULD NOT HAVE COMPLETED IT AND SBN WOULD HAVE PUT ME ON A VECTOR FOR THE APCH. THE SECOND APCH WAS COMPLETED WITH NO PROBS. I KNOW THIS AROSE BECAUSE OF PRIOR HANDLING AND SVC. I WILL NOT DO THIS AGAIN. IF I LOSE SIGHT OF THE RWY ENVIRONMENT AGAIN I WILL START THE CLB; TURN TO THE RADIAL; AND CALL AT THE SAME TIME.