AP altitude hold on 1900

I fly Both the C and D model 1900 and for the life of me cannot get the AP to engage. I set my altitude for say...2000', and out of climb she just wants to keep climbing and climbing. I've short hopped a few times hoping to get up and down...a quick practice flight, only to discover I'm at 6000' and need to descend fast to get within approach to land. I'm fairly new flying, so more than likely I'm doing something wrong, but it seems like I should be able to input an altitude and the aircraft should respond in a reasonable amount of time,

If it helps, I'm inputting altitude on the upper-right hand altitude dial on the main panel, then opening up the throttle panel and engaging AP/ALT. I've engaged FD with AP/ALT but that doesn't help. I've tested the AP system with FD on and off and she still wants altitude.

Anyone want to give me a short course on flying the AP panel?

Thanks

~Mark