That's a nice enough rate gyro if you happen to have one already. There are cheaper solutions that also aren't official VEX parts, many of which integrate the movements for you so you get position/orientation information directly.
Still, it's a great exercise to make a different sensor work. To transform instantaneous "rate of turn" measurements into heading information, you have to integrate the rate into a heading. It's fairly easy; you just set up a task to repeatedly read the rate of turn. Then, you optionally average the rate with one or more previous readings. Since you take note of the elapsed time between readings, you calculate how far it turned since the previous measurement, and accumulate those changes into a heading variable.
Here's a frequently referenced Vamfun blog post where he did exactly that with the standard VEX gyro. He treated the VEX gyro as a standard analog sensor and did all the integration stuff in his own code.
That's the sort of thing you need to do with the rate gyro you referenced in order to derive heading information from its output.