Pilot of an Aero Commander 500 experienced an altitude deviation while being vectored for approach.

Narrative

At approximately 10 NM from the airport; was given an intercept vector of 210 and cleared for the approach with an altitude restriction of 2600 FT MSL until established on the localizer. While rolling through approximately 260 degrees; the controller realized that the aircraft would pass through the localizer and amended the heading to 160 degrees. In the process of turning; the directional gyro precessed approximately 20 degrees. This caused the aircraft to roll out on a 140 degree heading on the magnetic compass. As the aircraft passed through the localizer again; correction was made to re-intercept the localizer. In the process of this maneuvering; the aircraft descended to 2400 FT MSL; 200 FT below the glideslope intercept. At this point the aircraft was in VMC and the runway was in sight. The Controller queried as to if the aircraft was established on the localizer. I responded with 'No; but we have the runway in sight.' He then confirmed if we had the runway in sight and I responded in the affirmative. He then handed us off to tower.