Clive,
What you are asking for is a "heading hold gyro" and what you have there (the PG-03) is a simpler "rate gyro". So I'm afraid you can't achieve what you want using the PG-03.
I fly a Corona helicopter and while I have a PG-03 I actually splashed the cash for a CSM HLG 200 heading lock gyro (about £60) because I wanted to remove one variable from the equation while learning to fly. The HLG200 does a great job of locking the tail and I'd highly recommend it.
I got mine from
www.modelhelicopters.co.uk but you can also get them from
www.skylinemodels.co.uk
Cliff