MLG MAKES MISSED APCH ON VOR APCH BUT FOLLOWED MISSED APCH DIRECTIONS FOR A SECOND APCH ON THE ILS WITHOUT CONTACTING CTR.

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FLT FROM SLC TO JAC. THE WX AT JACKSON HOLE ARPT WAS RPTED BY AWOS AS VFR; 3600 FT BROKEN; 10 MI VISIBILITY; WINDS CALM. I BRIEFED THE RWY 36 VOR DME APCH TO JAC. UNEVENTFUL APCH TO START; BUT THEN WENT TO MINIMUMS AND DIDN'T BREAK OUT OF THE CLOUDS. WE HAD BEEN CLRED FOR THE RWY 36 VOR DME APCH TO JAC BY ZLC BEFORE WE COMMENCED. WE WENT MISSED APCH AND FLEW THE PUBLISHED MISSED APCH PROCS. BECAUSE THE WINDS WERE CALM WE DECIDED TO SET UP FOR THE ILS TO RWY 18 APCH AT JAC. WE STILL HAD THE WX FOR THE APCH SO WE SET UP FOR THAT. WE WERE SOLID IMC AT 12000 FT MSL IN THE MOUNTAINS. WE GOT SO BUSY DOING ALL THE PRE APCH THINGS (ATIS FROM AWOS; PRE LNDG CHKLIST; DSCNT AND APCH CHKLISTS) WE FAILED TO CALL CTR BACK TO GET CLRNC FOR THE ILS RWY 18 APCH. WE DID MAKE BROADCASTS ON JACKSON UNICOM THAT WE WERE COMMENCING THE APCH; ETC. THE APCH WAS UNEVENTFUL. WE BROKE OUT AT MINIMUMS AND LANDED WITH NO FURTHER INCIDENT. LEARNING POINT: 1) WE DIDN'T NEED TO RUSH ANYTHING AFTER THE MISSED APCH. WE SHOULD HAVE DONE A FEW TURNS IN HOLDING TO GET ALL THE THINGS DONE AND THEN COMMENCED THE APCH. WE HAD PLENTY OF FUEL. 2) DON'T BE LULLED BY A MOUNTAIN ARPT'S AWOS BROADCAST! MOUNTAIN WX CHANGES TOO QUICKLY! SUPPLEMENTAL INFO FROM ACN 299317: EXPECTED WX AT JAC WAS VFR. AWOS AT BEGINNING OF DSCNT WAS SCATTERED CLOUDS AND 10 NM VISIBILITY. WE FAILED TO ADEQUATELY PLAN FOR EVENT OF LCL SNOW SQUALL DEVELOPING AT THE FIELD. CONSEQUENTLY; MISSED APCH BRIEFING ON DSCNT AND APCH HAD TO BE REVIEWED TO INCLUDE FULL INST APCH AND MISSED APCH BRIEFING. IN THE MOUNTAINS IMC I WAS VERY CONCERNED WITH HDGS; COURSES; ALTS AND POS AND DID NOT ADEQUATELY LISTEN TO FO'S MISSED APCH BRIEFING. ALL CHKLISTS AND ACFT PROCS WERE ACCOMPLISHED; BUT IN THE TUNNEL VISION HEAT OF BATTLE I FORGOT TO REESTABLISH RADIO CONTACT WITH ZLC THINKING I HAD PRIORITY FOR ALL IFR AIRSPACE SURROUNDING JAC UNTIL I CANCELED OUR CLRNC. ACFT POS; CONFIGN AND CTL WERE HANDLED CONFIDENTLY AND SAFELY AT ALL TIMES.