IFR BE58 DEPARTING XNA FAILED TO FLY ISSUED RTE AND ALT.

Narrative

I FLEW FROM HRO TO XNA. THE FLT OVER WENT JUST FINE AND I MADE A VISUAL APCH TO THE XNA ARPT. I HAD FILED AN IFR FLT PLAN BACK TO HRO AND CALLED FOR THE CLRNC. THE GND CTLR AT XNA CLRED ME FOR AN INTXN DEP (ABOUT 7000+ FT). AS I RECALL; HE SAID I WAS CLRED DIRECT TO HRO; THE HIGHFILL 2 DEP. AFTER DEP ON RWY 34; I TURNED R TO ABOUT 90 DEGS HDG; THINKING THAT I WAS CLRED DIRECT TO HRO. THE TWR SENT ME TO RAZORBACK DEP (121.0). I CALLED IN TO RAZORBACK DEP AND HE ASKED MY HEADING AND ALT. HE LET ME KNOW IN A HURRY THAT I HAD TURNED TOWARD AN AIRLINE FLT HEADING INBOUND TO XNA AND FURTHERMORE THAT I SHOULD BE ON THE RWY 34 HEADING AND FLYING AT 3000 FT. BY THIS TIME I HAD INADVERTENTLY CLBED TO 3400 FT. HE AGAIN ASKED MY ALT AND I RESPONDED THAT IT WAS 3400 FT AND THAT I WAS DSNDING BACK TO 3000 FT. I TOLD RAZORBACK DEP I THOUGHT THAT THE WAY MY CLRNC WAS WORDED THAT I WAS CLRED DIRECT TO HRO. DEP TOLD ME THAT WAS NOT CORRECT; THAT I SHOULD BE FLYING RWY HEADING AT 3000 FT AND THAT IT WAS HIS DUTY TO CLR ME TO HRO. I APOLOGIZED. I NOW UNDERSTAND THAT I SHOULD HAVE FLOWN RWY HEADING AND STAYED AT 3000 FT ALT UNTIL INSTRUCTED OTHERWISE. THIS IS THE FIRST TIME I HAVE VIOLATED THE REGS TO MY KNOWLEDGE. I ATTEND A 3 DAY INST AND MULTI-ENG REFRESHER COURSE EACH YR. I AM NOT A PROFESSIONAL PLT; BUT I TRY TO FLY LIKE ONE. I DON'T THINK THIS WAS A CASE OF A NEAR MISS; BUT IT COULD HAVE BEEN SERIOUS IF RAZORBACK DEP HAD NOT BEEN MONITORING ME AND THE AIRLINE FLT.