ACR CREW DEPARTS FROM EXPRESSWAY VISUAL AT LGA; NY; UNTIL QUESTIONED BY TWR.

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WE WERE CLRED DIRECT THE MASPETH GAS TANKS FOR THE EXPRESSWAY VISUAL. VERY SHARP 'NEW HIRE' WAS PF. IN MY ESTIMATION; GOOD EXPERIENCE FOR FO; AND LEARNING OPPORTUNITY; AS WIND WAS PRACTICALLY RIGHT DOWN THE RWY. AS WE TOOK UP THE 085 DEG HDG AT THE TANKS; I WAS BASICALLY 'HEADS DOWN' AS PNF MONITORING VFE SPDS; GEAR EXTENSION; CHKLISTS; ETC. FO EXPRESSED CONFIDENCE IN ORIENTATION ON THE PUBLISHED VISUAL. FO SOON ASKED 'WHERE IS OUR TFC?' AND ALMOST SIMULTANEOUSLY THE CTLR ASKED IF WE WERE STILL FOLLOWING THE EXPRESSWAY VISUAL. AT THIS TIME WE WERE ALSO IN MODERATE TURB. THIS IS WHEN I WENT TOTALLY 'HEADS UP' TO FIND WE HAD GONE PAST THE RECOMMENDED TURNING POINT FOR THE BASE LEG FOR RWY 31. THE TWR THEN TURNED TFC INSIDE US; GAVE US HEADINGS AND VECTORS FOR A GAR. THE TFC THE FO THOUGHT WE WERE SEQUENCED ON HAD APPARENTLY NOT BEEN A FACTOR; EXCEPT FOR A WAKE TURB ADVISORY (B757?). IN HINDSIGHT; I SHOULD NOT HAVE EQUATED THE FO'S SUPERB ACFT SKILLS WITH ABILITY TO HANDLE THE INTRICACIES OF FLYING A CHALLENGING VISUAL APCH IN A HIGH-DENSITY ENVIRONMENT WITH GUSTY WINDS. ALL CONTRIBUTED TO A CLASSIC 'OVERLOAD' SIT. I FLEW THE SECOND APCH MYSELF TO A SUCCESSFUL (ALBEIT FIRM) LNDG. TO CONCLUDE; ALTHOUGH LINE CAPTS ARE ENCOURAGED TO BE MENTORS AND INSTRUCTORS; WE MUST PAY STRICT ATTN TO THE LIMITATIONS OF EVEN THE MOST SAVVY AND COMPETENT NEWCOMERS UNTIL WE ARE SURE OF THEIR ABILITIES.