The heading lock module for a piccoboard is an improvement to the gyro ability. As I understand it, it improves the heli's ability to keep the tail where you put it. Also as I understand it, going with seperate components and a true head hold gyro is much more stable.
Go read [link=http://www.rcuniverse.com/forum/Best_indoor_electric_heli%3F/m_1408042/tm.htm]this recent post[/link] for my descritpion of what to buy.
Also on that page are three links to pages that have a ton of good information for the piccolo, and much that is useable for micro helis in general.