A CL65 CREW TAKES OFF FROM RAP ON AN IFR CLRNC WITHOUT PLANNING OR RECEIVING A DEP PROC AND INCORRECTLY FLIES RWY HDG.

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OUR TKOF CLRNC FROM THE RAP CTL TWR WAS; 'CLRED FOR TKOF; RWY 32.' AFTER A NORMAL TKOF AND CLB OUT; WE WERE INSTRUCTED TO 'CONTACT DENVER DEP CTL ON XXX.' ON INITIAL CALLUP TO DENVER; I SAID; 'DENVER DEP; ACR X (PRESENT ALT) CLBING TO (ASSIGNED ALT); RWY HDG OFF OF RAPID CITY.' THE DENVER ATC CTLR'S RESPONSE WAS; 'ACR X; WERE YOU ASSIGNED RWY HDG?' I RESPONDED; 'NEGATIVE; DEN CTR; WE WERE ISSUED 'CLEARED FOR TKOF; RWY 32.' THE CTLR THEN RESPONDED; 'WELL; 'CLRED FOR TKOF' AND 'RWY HDG' MEAN TWO DIFFERENT THINGS; ACR X.' HE THEN SAID; 'ACR X; YOU SHOULD BE FLYING THE DEP PROC.' TO WHICH I RESPONDED; 'THERE IS NO APPLICABLE DEP PROC FOR OUR RWY/RTE OF FLIGHT.' HE THEN ASKED IF WE COULD MAINTAIN OUR OWN TERRAIN SEPARATION; TO WHICH I RESPONDED IN THE AFFIRMATIVE. HE ALSO COMMENTED THAT; 'WE'VE BEEN HAVING PROBS WITH THIS A LOT LATELY OUT OF THERE.' WHEN HE GOT US IN RADAR CONTACT; HE GAVE US A R TURN DIRECT BFF AND ON COURSE AND WE PROCEEDED NORMALLY. I INQUIRED IF THERE HAD BEEN ANY 'LOSS OF SEPARATION' WITH ANOTHER ACFT AND MY QUESTION WAS NEVER ACKNOWLEDGED. WE HAVE ALMOST ALWAYS BEEN GIVEN A TKOF CLRNC OUT OF RAPID CITY WITH THE PHRASE; 'L TURN ON COURSE' APPENDED TO IT. IN THIS CASE; WE WERE NOT. WE DID NOT WANT TO MAKE AN UNEXPECTED L TURN (TO ATC) WITHOUT THAT INSTRUCTION; NOR DID WE WANT TO MAKE A R TURN; WHICH WOULD HAVE TAKEN US DIRECTLY OVER ELLSWORTH AFB AIRSPACE. THE DEP PROC OFF RWY 32 AT RAP SPECIFICALLY STATES A R TURN TO THE VOR AND CLB TO MEA BEFORE PROCEEDING WESTBOUND. OUR ON-COURSE HDG TO BFF WAS A MAGNETIC COURSE OF 177 DEGS (I.E. NOT WESTBOUND). THESE WERE THE REASONS WE PROCEEDED ON A RWY HDG AFTER OUR TKOF AND DURING CLB OUT. (THE HIGHER/MOUNTAINOUS TERRAIN TO THE WEST BEING THE REASON NOT TO EXECUTE A L HAND TURN. WE WERE IN THE CLOUDS BY THIS TIME AS WELL.) WE ASKED THE RAP TWR CTLR LATER WHAT HE THOUGHT OF OUR ACTIONS. HE AGREED WITH WHAT PROC WE HAD FLOWN. HE COMMENTED; ALSO; THAT THEY HAD BEEN RECEIVING THAT KIND OF REACTION FROM THE DEN CTR CTLR RECENTLY. HE SAID THIS ONLY HAPPENS WHEN THE ELLSWORTH DEP CTLR IS NOT IN USE; WHICH WAS THE CASE IN THIS SITUATION (SUNDAY MORNING AT XA45). OUR CONCERNS ARE THESE: 1) THERE SHOULD BE A MORE DETAILED OBSTACLE DEP PROC OR A SID DEVELOPED OUT OF RAP THAT ADDRESSES ALL DEP DIRECTIONS. 2) IT SHOULD BE MORE CLEAR WHAT IS EXPECTED OF US RTE WISE AFTER TKOF. THIS INFO COULD BE PASSED TO THE CTL TWR FROM THE CTR CTLR IF HE IS EXPECTING SOMETHING OTHER THAN STRAIGHT OUT. 3) IF A CTLR (I.E. THE DEN CTR CTLR) FINDS HIM/HERSELF MAKING A COMMENT; SUCH AS THE ONE MADE ('WE'VE BEEN HAVING THIS PROB LATELY'); SOME ACTION SHOULD BE TAKEN TO FIND OUT WHAT IS CAUSING THIS PROB AND TRY TO ADDRESS IT INSTEAD OF WAITING FOR IT TO HAPPEN AND THEN ADDRESS IT IN THE AIR. SUCH CONFUSION IN THE COCKPIT WHILE AIRBORNE CAN ONLY EXACERBATE THE POTENTIAL TERRAIN OR OTHER ACFT CONFLICT ISSUES THAT MAY ALREADY BE PRESENT. CALLBACK CONVERSATION WITH RPTR REVEALED THE FOLLOWING INFO: THE RPTR STATED HE DEPARTED; EXPECTING TO RECEIVE FURTHER INSTRUCTIONS FROM THE DEP CTLR IN THE AIR. ON PAST FLTS; HE SAID A HDG WAS PROVIDED BY THE LCL CTLR BEFORE TKOF. HE STATED HE ALWAYS DEFAULTS TO RWY HDG IF ONE IS NOT ISSUED. RPTR FURTHER STATED THE PROC IS CONFUSING AND IS NOT APPLICABLE TO FLTS OFF RWY 32.