On to the tutorial:
The heading bug is basically an arrow that points in a particular direction on the compass, which can be followed by the autopilot.
The heading bug looks like this:

To use the features of the heading bug, you first need to be able to adjust the heading of it. This is done by presing the "Select VOR" button (L) multiple times, until you read in yellow "HEADING BUG":

To adjust the heading, use the "Rotate the VOR to the left/right" buttons (7,8 on keyboard). To fly to the desired heading, open the Autopilot menu (Backspace), and select option number 5: "Fly heading bug":

Now that we are on our way, we want to change direction a little bit. This can be done easily. Select the "HEADING BUG" function again, and now start rotating the bug by using the "Rotate the VOR to the left/right" buttons. You will see that the autopilot will immediately start adjusting the heading towards the direction of the bug:

I hope you now have a better understanding of the new heading bug function. If you have any comments or questions about the Heading bug and the tutorial, post them below!
* All the keys displayed in () are the default buttons. These may vary depending on your configuration. To find yours, look for the names of the keys (between the "") in the "Joystick/key assignments" menu.