THE CAPT APCH DID NOT HDOF THE RPTR TO TWR ON A PRACTICE ILS APCH TO MVY TWR. THE RPTR CALLED ON HIS OWN PRIOR TO VIOLATING ANY CLASS D AIRSPACE.

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I GENERALLY FILE IFR ON ALL FLTS. ON THIS PARTICULAR MORNING; WHICH WAS FINE VFR FLYING WX; I DECIDED TO FLY VFR OVER TO MVY; A SHORT DISTANCE FROM MY HOME BASE AT HYA. AFTER DEPARTING HOME BASE; HYA; MA; AND WHILE OUTSIDE THE ATA; I LISTENED TO MVY ATIS; AND THEN CALLED CAPE APCH CTL AND REQUESTED AN ILS 24 PRACTICE APCH TO MVY. I WAS GIVEN A XPONDER CODE; THEN VARIOUS HDGS AND FINALLY A LAST HDG WITH THE DIRECTION FROM THE CAPE APCH CTLR TO 'INTERCEPT THE LOC' WHICH I DID. THERE WAS NO COM FROM THE CTLR TO SWITCH TO TWR FREQ. I INTERCEPTED THE LOC AND AWAITED DIRECTION TO SWITCH TO TWR FREQ. NOTHING WAS SAID. I THEN STATED; 'CAPE APCH; BEECH XXXX INBOUND ON THE LOC.' I FELT UNEASY ABOUT THE LACK OF COM AND THEREFORE IMMEDIATELY SWITCHED TO TWR FREQ AND STATED 'BEECH XXXX BREAKING OFF APCH.' MVY TWR RESPONDED STATING THAT THEY HAD NOT HEARD ABOUT MY APCH UNTIL THAT MOMENT. AFTER TWR TOLD ME THIS; I REQUESTED CIRCLE OF THE AREA; AND THEN FULL STOP LNDG. UPON LNDG; I CALLED MVY TWR ON THE PHONE. THEY AGAIN EXPLAINED TO ME THAT THEY HAD RECEIVED NO HDOF TELLING THEM THAT I WAS ON THE ILS PRACTICING AN APCH TO RWY 24. REFLECTING ON THIS AFTERWARDS; I REALIZED THAT I HAD FORGOTTEN THAT; UNDER VFR CONDITIONS; I SHOULD FIRST CONTACT THE DEST TWR TO ARRANGE PERMISSION TO DO A PRACTICE APCH. FORTUNATELY; I HAD NOT PROCEEDED TOO CLOSE TO THE ARPT AND THERE WAS NO PROX TO OTHER ACFT TAKING OFF OR LNDG AT THE TIME. HOWEVER; I WAS GIVEN A XPONDER CODE AND VECTORS TO INTERCEPT THE LOC BY APCH; BUT THEN THEY DID NOT HAND ME OFF AND DID NOT DIRECT ME TO CONTACT TWR; WHICH I WAS EXPECTING. UNDER THE CIRCUMSTANCES; I DID THE SAFEST THING I COULD HAVE DONE BY IMMEDIATELY BREAKING OFF THE PRACTICE APCH AND CONTACTING THE TWR AS SOON AS I REALIZED THAT I WAS NOT BEING HANDED OFF BY CAPE APCH. WHILE I SHOULD HAVE CONTACTED THE TWR AT MY DEST FOR PERMISSION TO CONDUCT A PRACTICE APCH BEFORE CALLING APCH CTL; IT WOULD HAVE BEEN HELPFUL; IN THIS INSTANCE; IF APCH HAD SUGGESTED CONTACTING THE TWR FIRST -- BEFORE ACCEPTING A REQUEST AND GIVING ME CODES AND VECTORS. CALLBACK CONVERSATION WITH RPTR REVEALED THE FOLLOWING INFO: THE RPTR SAID THERE WERE NO REPERCUSSIONS TO THE EVENT AND HE DID NOT EXPECT THERE WOULD BE. HE SAID HE CONTACTED TWR ON FINAL BEFORE ENTERING THE CLASS D AIRSPACE. HE SAID AN INSTRUCTOR FRIEND TOLD HIM HE SHOULD CALL A TWR BEFORE PRACTICING APCHS TO THEIR FACILITY. HE SAID THE RWY IN SVC WAS THE RECIPROCAL TO THE APCH HE WAS FLYING AND HE STARTED THE APCH INTO THE DEP RWY THINKING HIS ARR HAD BEEN COORDINATED WITH THE TWR.