CRJ 200 FLT CREW HAS A TRACK DEVIATION WHEN THEY INTERCEPT AND FLY AN AIRWAY RATHER THAN THE HEADING ASSIGNED.

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I WAS THE PF ON A FLT TO ATLANTA. ON INITIAL CLBOUT; DEP INSTRUCTED US TO TURN TO A HDG TO INTERCEPT A JET AIRWAY AND PROCEED ON COURSE. I WAS HAND FLYING; SO THE CAPT SET THE HDG BUG AND ARMED NAV MODE ON THE FCP. WE WERE HANDED OFF TO ZTL; AND THEY ASSIGNED US A HDG OF 360 DEGS. THE CAPT SET THE HDG BUG AND I BEGAN MAKING THE TURN. THE NAV MODE OF LATERAL NAV WAS STILL ARMED; AND EVENTUALLY CAPTURED THE JET AIRWAY. I BEGAN THE ROUGHLY 70 DEGS OF HDG CHANGE THAT WAS REQUIRED TO INTERCEPT THE AIRWAY. AS I WAS LEVELING THE WINGS AT 11000 FT; THE CAPT QUERIED WHETHER WE SHOULD STILL BE ON A HDG OF 360 DEGS. IMMEDIATELY; I REALIZED I SHOULD NOT HAVE JOINED THE AIRWAY AND BEGAN TURNING BACK TO THE ASSIGNED HDG. ATC THEN TOLD US TO GET BACK ON OUR HDG AND EXPEDITE OUR CLB THROUGH 13000 FT. ANOTHER CRJ WAS HEADED THE OPPOSITE DIRECTION ON THE AIRWAY AND WAS TOLD TO EXPEDITE THEIR DSCNT THROUGH 11000 FT. ONCE OUR ACFT WAS ESTABLISHED ON THE CORRECT HDG; THE CAPT ENGAGED THE AUTOPLT. SUBSEQUENTLY; WE WERE CLRED DIRECTLY TO A FIX ON THE ARR WITH NO FURTHER INCIDENT. THE FLT CREW FAILED TO RECOGNIZE THAT NAV MODE WAS ARMED WHEN ISSUED A HDG FROM ZTL. THE FO FOLLOWED THE FLT DIRECTOR; BUT IT WAS INCORRECTLY DIRECTING THE AIRPLANE TO JOIN AN AIRWAY. CONTINUED VIGILANCE IN REGARDS TO BOTH LATERAL AND VERT FLT DIRECTOR MODES IS IMPERATIVE. THE FLT CREW NEEDED TO BE MORE AWARE OF WHAT WAS SELECTED; AND DIDN'T RECOGNIZE THAT ZTL ISSUED THE SECOND HDG CHANGE; NOT AS A NEW VECTOR TO JOIN THE AIRWAY; BUT AS A NEW HDG UNTIL ADVISED OTHERWISE.