SMA PLT MISSETS DIRECTIONAL GYRO AND HEADS TOWARD INBOUND TFC. ATC VECTORS HIM AWAY FROM TFC.

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DEP INSTRUCTIONS GIVEN BY CLRNC DELIVERY WERE: AFTER TKOF RWY 01; MAKE L TURN TO 250 DEGS; CLBING TO 3000 FT. FOLLOWING THESE INSTRUCTIONS; ACCORDING TO OUR DIRECTIONAL GYRO AND ALTIMETER; WE ENDED UP HDG INTO ONCOMING INBOUND LNDG ACFT TFC. BY THE TIME WE WERE ABLE TO CONTACT LAS DEP; WE WERE TOLD TO MAKE IMMEDIATE R TURN TO AVOID INCOMING TFC. WE NEVER SAW THE INCOMING TFC. DURING A BRIEF DISCUSSION WITH DEP CTL ON OUR RADIO; IT BECAME APPARENT THAT OUR DIRECTIONAL GYRO WAS READING IN ERROR. AFTER RESETTING THE DIRECTIONAL GYRO TO THE CORRECT MAGNETIC COMPASS HDG; THE DIRECTIONAL GYRO FUNCTIONED NORMALLY. I THINK THE PRIMARY CAUSE FOR THIS SIT WAS NOT CHKING THE DIRECTIONAL GYRO READING WITH RWY HDG WHILE IN POS FOR TKOF. CONTRIBUTING FACTORS WERE: 1) HIGH WINDS CAUSING ALL TFC (BOTH COMMERCIAL AND PVT) TO LAND AND DEPART FROM SAME RWY. USUALLY 4 RWYS ARE IN USE -- 2 FOR COMMERCIAL AIRLINERS AND 2 FOR SMALLER ACFT. THIS CAUSES CONGESTION AND CTLRS PUSHING TO GET AIRPLANES OFF THE GND IN A HURRY. 2) FAILURE TO DOUBLECHK DIRECTIONAL GYRO AFTER SETTING IT DURING RUNUP. OBVIOUSLY IT WAS NOT SET PROPERLY. 3) DIRECTIONAL GYRO IS PART OF THE HSI IN THIS AIRPLANE. NOT HAVING USED AN HSI BEFORE BUYING THIS AIRPLANE (12 FLYING HRS AGO); THE INSTS WERE RELATIVELY NEW TO ME.