DME error? What did I do?

My airport doesn’t have a DME arc, so we decided to fly a pretend 9 DME around our VOR.

-I set up the VOR frequency in NAV1.  

-I then used my HSI to fly the arc (connected to NAV1).

-I also programmed my IFD for Direct-To the VOR so I could see my distance from the station (DME)

-I then turned the IFD’s CDI knob to VLOC, but did not turn the IFD OBS knob at all.  I had no plans to use the maps page on the IFD, so I just used my HSI.

What happened next and why I’m not sure, but we ended up pointing the plane outbound because it seemed like we were getting blown towards the VOR according to the DME mileage.  What we think might have happened is that the IFD was showing us cross-track distance to the radial we wanted, rather than distance to the station.  It took us a few turns away from the station and a few radials later and a recheck of winds aloft calmness to figure out the distance in the IFD magenta waypoint box was not our distance to the station.

What did I screw up?

What you want to use in your case is either the "To Waypoint Direct Info." or "To Waypoint Direct Distance." data block (one just gives more info than the other).  They can be placed in the fixed left side data blocks so they are visible on the FMS page, or in the scrollable right side data blocks visible on the MAP page.