Today I was flying from Las Vegas to John Wayne (KSNA). I was flying the KAYOH5 as planned and as instructed by ATC. Then I realized this will take through a long loop to VOR SLI before heading to capture the ILS for 20R.

There got to be a much shorter way. After crossing over VOR HDF I request vectors to capture the ILS FOR 20R, I get vectors and start heading to capture the localizer. The problem is I never got cleared to descend even after asking twice and I didn't get cleared for the ILS either. I assumed maybe ATC meant I was cleared, so I capture the localizer and start descending. Immediately ATC starts complaining asking me to return to the heading and altitude (8000) I was cleared for. I complied and a while after passing over the localizer I get cleared for the ILS. At this point I am way too high and there is no way I can safely land. Had to declare a missed approach and go around for take two.

I guess my question is, what is the correct protocol to request a shortcut to capture the localizer?

It sounds like you did it right, except for possibly the request for a lower altitude.  If you got no response from ATC when requesting a descent to the IF altitude, then it didn't understand you. 

 

That said, there may be a bug that did not clear you to a lower altitude when you were given the vectors.  To diagnose this I would have to see the trace log.  I'll PM you the instructions for sending me the trace log.

 

Dave