Like the OP says, you gotta be in GS/AUTO before you intercept the GS... and you can't click back in ALT HOLD when it is disabled in GS/AUTO.  If you do, it will never intercept, you've told it otherwise.  At that point, you're holding the pitch steady to control descent rate prior to the GS intercept, and it takes over when it finds it.  Keep in mind, when I say this, you're controlling pitch thru the pitch axis input on the AP, not the yoke or trim wheel.  Pretty much if you were on your intercept altitude before switching GS/AUTO, it should maintain the same pitch as the hold setting unless you change it.

Yes, it's fickle.  Yes, it takes some understanding.  Think about it- it's a model of a 1960's autopilot.  It's not going to do much thinking for you. :)

I tend to let it intercept localizer, and fly my GS intercept altitude until it comes in line, and go full manual for the rest of the descent to landing.  It's what any 727 pilot would likely do, if not just leave the AP disengaged in the first place.  8-)