Don't expect the distance to put you on top of the cache. Given the accuracy of the persons GPS who placed the cache, and the accuracy of your GPS you could end up anywhere from 0-20m (most cachers I know here use metric).
Also check that your Compass page for Bearing vs Heading.. Bearing is direction to Waypoint, Heading is Direction your are actually walking.
Set to Bearing and the arrow on your GPS compass will point in the general direction of the waypoint. I have come across a few people who had the compass set to heading, and yeh, they did do a lot of walking in circles!
I also know of cachers who never left the map page, and tried to find caches based on where they were, the little icon on the page, and the line between them, and the waypoint. This is made even more confusing (for me at least) when the map is set to North Up (I perfer Bearing Up, so map is aligned in the direction you are moving). Though, if you have a good set of TOPO maps, and maybe a trail route overlaid, you would be switching between the map view and compass view.
Set up the fields on your gps screens to have the information you need, distance, bearing, accuracy etc.
There is some discussion here: