The ATC recordings have been spotty lately, I apologize. The times were off by an hour when the timezone mysteriously changed in the middle of January, and the recordings have stopped working during some of the snow storms, but for the most part, there's lots of good stuff to listen to.
If I can offer a suggestion...
"turn right to heading 150 at some intersection, then descend to 2000." I'll pick up on the 150, the 4000, and miss the intersection instruction.
I'm going to correct you, not to be critical, but because it will help frame the discussion and the solution that follows. That instruction will be "depart [fix] heading 150, then descend and maintain [altitude]"
I've never used a notepad on an IFR flight other than to copy the initial IFR clearance simply because a little visualization goes a long way (whereas a full route IFR clearance often contains far too many items to memorize). For enroute/terminal operations, it's rare to receive anything that would require being written down. That's important, believe me, because writing in turbulent conditions can be a real handful and an unnecessary source of workload.
SOME of this can be solved by visualization...when you hear "depart fix hdg 150", immediately look at your heading indicator...where you heading now? Where's the new heading relatively to that? Treat it like a position on a clock. If you're on a 180 hdg, then 150 would be 30 degs to the left, which would put it at the 11 o'clock position. Memorize that spot, visually. If you were to look away and come back to the gauge, you'll remember that 11 o'clock offset and hopefully the 150 heading will come back to you. If you have a heading bug...even better.
Same with the descent...compare it to your altitude now...is this a big drop or a little drop? Visualize the new position on the altimeter and lock that in. That way, when you go to recall it, you'll have those memory aids. "the heading was over *there*" (11 o'clock). "Ah yes, 150, I remember now." Hopefully the same will happen with the altimeter.
The other thing is practice....practice...practice. It truly does get easier, and then just downright fun. Every now and then you'll have to double check, and that's fine. Just ask ATC.
Victoria, if I'm understanding right (and I promise you, I'm not being stubborn or trying to prove a point), you want to practice receiving vectors to the final approach course for an ILS approach? All ILS's are pretty much created equal (the same is not true of other types of approaches). I'd say just keep doing the one at SNA. Every airport is going to be a variation on the same theme.
You'll soon realize why we were so stumped by the 'term 'direct vectors' for an approach. The confusion is because 'vectors' implies vectors to the final approach course, whereas 'direct' normally implies that you want direct to a fix from which you can commence the full approach (the I-6).
I think I will keep ATC happy, since it bodes ill for me if I don't! And, I will be choosing my words more carefully next time!
It was quite new experience to me but I flew KSNA-KONT VFR totally by VOR receiver and VFR landmarks. 
. But if I do get it going again, what sort of IFR route are you looking at for KOXR to KWHP?