The heading drifts

The heading drifts

You let the model move while it was initializing	Don't do that
Your model isn't setup properly	While in normal (rate) mode, adjust the length of the t/r control rod so it is stable in a hover. Also be sure that the servo arm is perpendicular to the control rod.
Excess vibration	A gyro in a vibrating model just isn't going to work right. You must fix the vibrations if you expect the gyro to work. Check the clutch alignment and the balance of the main blades.
You're moving the sticks.	Put some expo in the Rudder channel. Or, put a lot. At one time Curtis told me he was running 85%.
You have moved the trim lever	Be sure, before you turn on your model, that you zero all rudder trim, zero subtrim and inhibit any revo mixing functions in the transmitter.
You got a bum gyro.	This is pretty rare now days, but it is possible. Send the gyro to the manufacturer along with a note describing the problem. Only do this after you've tried everything else. Otherwise, you'll get another gyro and have the same problem.