Thanks for correcting this. sebihepp, I think you may find the following quote from the FCOM of some interest: Note: If change to a localizer frequency is desired when captured in the VOR mode, disengage VOR LOC mode prior to selection of the localizer. VOR LOC mode can then be reengaged.
Generally swapping NAV freqs with VOR/LOC active seems like a no-no to me and I would think that using HDG SEL in between is a better idea. However if you feel like pulling off such stunts the you actually can and that's because to intercept a LLZ you DON'T dial the course as it serves NO purpose! So technically you should be able to just switch the freqs and that's it. Although I never tried it personally.