I had a similar issue with this for a while, but I think it was mostly down to technique (I'm very new to all this). This is what seems to work for me now.
The autopilot doesn't seem to like to change more than one thing at once, so ideally arrive with your aircraft flying level at the entry point to the ILS slope, alligned as close as you can manage to the runway angle and as close to your landing speed as possible (based on your current weight) and with flaps and wheels down. That way it can make the small incremental adjustments to get you pretty much down to the runway correctly. Generally, the slower the better, so long as you are above the stall speed for your weight.
Also, check the compass is alligned (default: "D" key in FSX). I never knew about this last bit so kept arriving and wondering why I was perfectly missaligned each time.
Now I can usually get on the ground in one piece.
Hope this helps.
Stephen.
