HDG TRACK DEV AND IMC DURING VFR FLT IN VFR DEP IN A PA32 FROM GRB; WI.

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ASSIGNED RWY 6 FOR MY DEP. GOT INSTRUCTIONS FROM CLRNC DELIVERY WHICH DID NOT INCLUDE A DEP FREQ. PRIOR TO CALLING GND CTL; I LOOKED UP AND DIALED IN APCH/DEP 119.4 IN ANTICIPATION OF REQUESTING FLT FOLLOWING. MY TKOF CLRNC FROM RWY 6 INCLUDED INSTRUCTIONS TO TURN TO HDG 360 DEGS WHEN ABLE. AT ABOUT 900 FT MSL; I WAS GIVEN A CTL INSTRUCTION TO TURN TO HDG 360 DEGS AND CONTACT DEP. I WAS GLAD I HAD LOOKED UP THE FREQ. UPON CONTACTING DEP WITH MY ALT AND ASSIGNED HDG; I WAS TOLD TO CONTACT THE TWR; SOMETHING ABOUT DEP NOT HAVING ME. I REMEMBERED THINKING AT THE TIME; 'WELL; I'M TOO LOW FOR THEM TO HAVE ME.' AT THIS POINT; I WAS UNCOMFORTABLE WITH THE CLOUD HT IN RELATION TO MY ALT FOR THE ASSIGNED HDG. I MADE A CLBING R TURN BACK TO GRB WHILE CONTACTING THE TWR. I TOLD TWR; 'DEP WOULDN'T ACCEPT ME AND I'M ABOUT TO GO IMC AND I AM DECLARING AN EMER. I HAVE 4 SOULS; 4 HRS 42 MINS FUEL AND I'D LIKE TO CLB TO VFR ON TOP.' TWR SAID TO GET BACK ON THE 360 DEG HDG AND THEY COULD ONLY GIVE ME SVCS BACK TO THE ARPT OR I COULD CONTACT DEP. I CHOSE TO RE-CONTACT DEP. THIS TIME THEY HAD ME JUST AS I WAS COMING ON TOP AT 2800 FT MSL. DEP ASKED ME TO ADVISE CANCELING IFR; WHICH I DID PRIOR TO REACHING 4500 FT MSL. I WOULD LIKE TO KNOW; IF I'M NOT GIVEN A DEP FREQ UPON CLRNC; BUT THEN INSTRUCTED TO CONTACT DEP; IF I'M THEN FREE (UNDER VFR) TO PROCEED ON COURSE? PRIOR TO CONTACTING DEP; I WANTED TO TURN TO MY ON-COURSE HDG OF 240 DEGS; BUT DIDN'T BECAUSE THAT FLT PATH WOULD HAVE HAD ME XING THE APCH END OF RWY 36; ALSO AN ACTIVE RWY. I WONDERED; TOO; IF THE LCL (TWR) CTLR TOLD ME TO 'CONTACT DEP' OUT OF HABIT AND WITHOUT CONSIDERATION OF MY MERE 90 KIAS CLB.