If I am wanting to maintain an altitude, without worrying about
fiddling with the joystick, would I use AP master or Alt hold, or
Also, how does it know at what alt I want it to hold at, when I try
and engage them, it either wants to climb or descend.
The AP master turns on the autopilot. Use ALT hold to stay at altitude or (depending on the equipment) set a climb or decent rate and level off at a preset altitude. HEADING will follow the heading bug on the DG and NAV will track a VOR, Localiazer or GPS course. Approach is used to follow the decent path and heading of the ILS localizer/glideslope. The REV button is used to track inbound on the backcourse of a localizer. I hope this helps.
Nikeandlisa80, try looking at the radio stack. If you use a key stroke to select altitude hold, the plane will level off and the altitude you are currently at. If you click on 'alt' on the radio stack, you will climb or decend to the altitude you input on the stack.