I use the autopilot steering
to apparent wind
upwind all the time (Raymarine 6000 AP and wind) and it works well. Biggest problem was optimising the wind
angle output from the wind sensor averaging time so that the pilot responds to the shifts quickly enough. In Croatia
there are often large angle shifts sailing near the islands. Off the wind, as mentioned, it is best to sail to compass
because of the large apparent angle shifts as the wind speed changes.