INST RATED PVT PLT TURNED FROM THE LAST ASSIGNED HDG AFTER BEING HANDED OFF TO THE TWR AND SUBSEQUENTLY CHANGED FREQ FROM TWR PRIOR TO REQUESTING CLRNC TO DO SO.

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UPON APCHING TO THE ARPT ON AN IFR FLT PLAN IN VMC; BALTIMORE APCH INSTRUCTED US TO (WORDS TO THIS EFFECT): 'DSND (FROM 4000 FT) 2500 FT AT PLT'S DISCRETION; EXPECT THE VISUAL RWY 15; RADAR SVCS TERMINATED; SQUAWK 1200; CONTACT TWR ON 121.3.' OUR ERROR WAS NOT QUESTIONING IF THIS MEANT OUR IFR WAS CANCELED. THIS MOST LIKELY COMES FROM THE FACT THAT WE ARE VERY USED TO SIMILAR INSTRUCTIONS AFTER CANCELING ENRTE TO OUR HOME; NON TWRED FIELD OF GAI; ALSO UNDER THE CTL OF BALTIMORE APCH. THE INSTRUCTIONS WERE READ BACK AND THE DSCNT COMMENCED. OUR LAST ASSIGNED HDG WAS 260 DEGS. WITH THE FIELD IN SIGHT; I PROCEEDED TO TURN THE PLANE FOR AN INTERCEPT ANGLE OF 40 DEGS. UPON CONTACTING TWR; THEY ASKED US IF WE WERE STILL SQUAWKING OUR DISCRETE CODE. WHEN WE TOLD THE CTLR WE WERE SQUAWKING VFR; HE BECAME UPSET AND ASKED WHY. WE INFORMED HIM THAT WE WERE INSTRUCTED TO. HE ASKED US TO STAND BY. WHEN HE RETURNED HE SAID HE HAD JUST SPOKEN TO THE BALTIMORE APCH CTLR AND HE SAID HE HAD NOT ISSUED THESE INSTRUCTIONS. I CAN ASSURE YOU HE DID. UPON LEAVING THE ARPT WE LEFT THE TWR FREQ WITHOUT REQUESTING TO DO SO. THIS WAS AN OVERSIGHT. ON THE OTHER HAND; IT WAS THAT MUCH LESS WE HAD TO LISTEN TO THE MTN CTLRS.