IFR BE36 ON VECTORS TO GPS-A APCH TO CQX PERFORMED PROC TURN AT IAF TO LOSE ALT; LATER ATC QUESTIONED PROC TURN WITHOUT AUTHORIZATION.

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I WAS ON AN INST FLT PLAN TO CQX. APCH CTL CLRED FOR GPS-A APCH; MAINTAIN 3000 FT UNTIL ESTABLISHED; CHANGE TO UNICOM FREQ APPROVED; AND THEY TOLD ME THE FREQS TO CANCEL IFR ON GND/AIR. I ACKNOWLEDGED THIS AND CHANGED TO UNICOM. AT WHIPS (IAF) I PERFORMED THE COURSE REVERSAL/PROC TURN; ONCE ESTABLISHED I THEN DSNDED PER THE APCH PLATE. UPON ARR AT THE MAP; I PROCEEDED WITH THE MISSED APCH (ARPT CEILING WAS BELOW MINIMUMS AND WE DID NOT SEE THE ARPT). I SWITCHED BACK TO CAPE APCH AND ADVISED WE WERE MISSED APCH AND REQUESTED THE ILS AT HYN. ONCE AT ALT; THE CAPE CTLR ASKED IF I HAD DONE THE COMPLETE COURSE REVERSAL ON THE APCH; I SAID I HAD. HE SAID HE CLRED ME STRAIGHT IN ON THE APCH. I APOLOGIZED AND TOLD HIM THAT THE APCH CALLS FOR THE REVERSAL. I KNOW HE WAS VERY BUSY; BUT TO ME; DIVING IN FROM 3000 FT; 4 MI OUT; WITH LOW CEILINGS; THE COURSE REVERSAL MADE SENSE. IT ALLOWED ME TO GET ESTABLISHED WITH A NORMAL DSCNT. I'VE SINCE READ THERE IS A LOT OF CONTROVERSY OVER WHEN NOT OR WHEN TO DO THE PROC TURN. IN THE FUTURE; I WILL CONFIRM WHETHER OR NOT THE CTLRS EXPECTS THE PROC TURN.