C182 PRACTICE APCH TO SCK; MISSED ATC TURN.

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I AM A CFI. MYSELF AND A CFII WERE FLYING AN INST FLT PLAN TO STOCKTON; CA. THE WX WAS ENRTE IMC. WE REQUESTED AND WERE TOLD BY SIERRA APCH TO EXPECT THE ILS RWY 29R APCH INTO STOCKTON. WE WERE HANDED OFF TO ANOTHER CTLR AND CONTINUED BEING VECTORED TO THE FINAL APCH COURSE. WE FLEW SEVERAL VECTORS AND WERE FOLLOWING A VECTOR THAT WOULD TAKE US TO THE ILS INTERCEPT. THE CTLR THEN UNEXPECTEDLY TOLD US WE WERE BEING VECTORED TO THE VOR RWY 29R APCH AND TO TURN TO A HDG OF 270 DEGS; DIRECT THE MANTECA VOR. THIS CONFUSED MYSELF AND THE CFII ON BOARD; WONDERING WHY THEY CHANGED THE APCH. OUR WORKLOAD INCREASED BECAUSE WE WERE CLOSE TO THE FINAL APCH COURSE FOR BOTH APCHS AND NOW HAD TO RECONFIGURE THE RADIOS AND CHANGE APCH PLATES FROM THE ILS TO THE VOR APCH. WE MAINTAINED OUR LAST ASSIGNED HDG OF 270 DEGS. I WANTED TO QUERY THE CTLR ABOUT THE SUDDEN CHANGE; BUT THE FREQ WAS VERY CONGESTED AND THE CTLR SOUNDED VERY BUSY. THERE WASN'T A BREAK IN THE FREQ TFC TO ASK MY QUESTIONS TO THE CTLR; AND WE CONTINUED TO FLY HDG 270 DEGS; WAITING FOR AN APCH CLRNC. I DON'T REMEMBER HEARING IF THE CTLR CLRED US TO INTERCEPT THE VOR APCH AND TO PROCEED INBOUND WITH AN APCH CLRNC. WHILE MAINTAINING HDG 270 DEGS; THE CTLR SAID WE HAD DEVIATED TOO FAR L OF COURSE; AND OUR APCH CLRNC WAS CANCELED. THE CTLR GAVE US A VECTOR TO THE L FOR ANOTHER APCH. WHILE BEING REVECTORED FOR AN APCH; THE FREQ WAS STILL BUSY. TWICE I WAS ABLE TO XMIT OUR REGISTRATION NUMBER TO PROMPT THE CTLR WITH MY QUESTIONS ABOUT THE APCH; BUT THEY WENT UNANSWERED. I WAS FINALLY ABLE TO ASK THE CTLR IF WE COULD EXPECT THE ILS OR VOR APCH TO RWY 29R. HE REPLIED WE COULD EXPECT THE ILS. WE FLEW THE ASSIGNED VECTORS AND FLEW THE ILS TO A FULL STOP LNDG AT STOCKTON. I'M SECOND-GUESSING MYSELF ABOUT THIS EVENT. I'M PRETTY POSITIVE THAT WE DIDN'T RECEIVE A CLRNC TO INTERCEPT AND PROCEED INBOUND ON THE VOR APCH; SO WE CONTINUED FLYING HDG 270 DEGS BECAUSE THAT WAS OUR LAST ASSIGNED HDG. WE ALSO WAITED FOR THE CLRNC; AND ALSO WANTED TO ASK THE CTLR FOR CLARIFICATION; BUT THE FREQ CONGESTION JUST WOULDN'T ALLOW ME TO XMIT MY QUESTIONS AND ASK IF WE WERE CLR TO INTERCEPT THE INBOUND COURSE. EVERYBODY'S WORKLOAD WAS HIGH; INCLUDING THE CTLR. THE CRM BTWN MYSELF AND THE CFII COULD HAVE BEEN BETTER ALSO.