CONFUSION OVER ASSIGNED AND AUTH ALT WHEN ESTABLISHED IN THE PROC TURN OF A VOR APCH.

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15 NM W OF TXK VOR; I WAS CLRED FOR THE VOR RWY 13 APCH; CIRCLE TO LAND RWY 31; ENTER A 7 DME ARC; MAINTAIN 3000 FT UNTIL ESTABLISHED. AS I REACHED 7.5 NM FROM THE TXK VOR AND BEGAN MY TURN; ATC ANNOUNCED THAT THEY HAD 2 OTHER ACFT INBOUND TO TXK AND I WOULD NEED TO HOLD AT THE VOR. I COPIED DOWN THE HOLD INSTRUCTIONS AND READ THEM BACK TO ATC. AT THIS POINT; I FAILED TO DIAL THE VOR OBS TO THE INBOUND HDG OF 122 DEGS. AS A RESULT; I FAILED TO TURN INBOUND. INSTEAD; I CONTINUED AROUND THE DME ARC. ATC THEN ADVISED ME TO 'PROCEED INBOUND TO THE VOR NOW.' THE OTHER TFC HAD ALREADY COMPLETED THEIR APCH IN THE TIME THAT I TOOK FLYING FURTHER AROUND THE DME ARC. I TURNED THE OBS TO OBTAIN A 'TO' INDICATION. I REALIZED THAT I HAD LOST POS AWARENESS. I SET THE SCALE ON MY GPS MAP SO THAT I COULD SEE THE VOR AND THE ARPT. I REALIZED MY MISTAKE AND PROCEEDED INBOUND TO THE VOR. AFTER ESTABLISHING MY HDG TOWARD THE VOR; ATC THEN PROVIDED A CLRNC. I READ BACK THE CLRNC. I FLEW TO THE VOR AND EXECUTED THE PROC TURN. AS I CROSSED THE VOR; I BEGAN MY DSCNT FROM 3000 FT TO THE CIRCLE TO LAND MDA OF 820 FT. AS I REACHED 2800 FT; ATC ASKED 'WHAT IS YOUR ALT?' I RESPONDED '2800 FT.' AT THIS POINT ATC REPEATED THE CLRNC THAT I HAD ALREADY RECEIVED. ONLY AFTER I WAS ON THE GND DID I BEGIN TO WONDER; HAD I BEEN CLRED FOR THE APCH BEFORE I CROSSED THE VOR INBOUND? I WAS SURE THAT I HAD RECEIVED THAT CLRNC. DID HIS CLRNC AT THAT TIME MENTION A 3000 FT RESTR? I THOUGHT NOT; BUT I COULD NOT BE ENTIRELY SURE. PERHAPS I READ BACK THE CLRNC TO HIM TOO SOON. I WILL DO SEVERAL ITEMS MORE CAREFULLY IN THE FUTURE. I NEGLECTED TO SET MY VOR OBS TO THE INBOUND HDG BECAUSE I WAS DISTR BY THE HOLD INSTRUCTION. THIS NEW INSTRUCTION FROM ATC CAUGHT ME IN THE MIDDLE OF A TASK; AND I FAILED TO COMPLETE IT PROPERLY. I MUST BE ESPECIALLY VIGILANT WHEN RECEIVING APCH CLRNCS TO MAKE NOTE OF ANY ALT RESTR; AND TO CLARIFY IF MY UNDERSTANDING IS THAT A PRIOR ALT RESTR HAS BEEN REMOVED.