I dont know whats wrong but most of the times the autopilot wont capture the glideslope; only the localiser when I select the approach button on the autopilot. Should I be at a certain altitude or some thing? Should I turn off the altitude hold first?

You need to be at or below the glideslope for it to capture. If you intercept the localizer but are above the glideslope the AP will just follow the localizer like it has done in your case.