im not a real pilot with a type rating on a 737 so i can not give you statements with 100% reason but according to some sources i have which are friends with real pilots, thats not the correct way :P
Well..it depends, if ATC clears you for a SID, for example MANI3S, you use Lnav as soon as you are about to initiate the first turn, or as soon as you have positive rate, if you are cleared for a fix, like MANIK instead of using SID, you do the same, if you are cleared departure runway heading, you fly runway heading with the aircraft on HDG hold.
Depends on the clearance, imagining your callsign is OZC121 and you request takeoff from porto LPPR airport to Lisboa LPPT airport from stand S10 (not sure if that stand exists, imagining)
If the clearance is, Oscar Zulu Charlie 121, clear to lisboa as filed (on the flightplan), after takeoff maintain runway heading expect initial level 5000FT, report when ready for push and start
you maintain runway heading after takeoff =)