I'm not condemning the interfacing of GPS with autopilot, but I can see it leading to sloppy habits and an overreliance on one technology that I've seen with my own eyes being "skittish". Consider that a fluxgate compass might provide a "yawing" reading, telling the pilot to steer in broad S tracks, but if the GPS hiccups and adds half a degree to latitude right at the point you are feeding info to the pilot, your boat could take a hard turn to left or right with all sails up.
I have seen GPSes do this if they lose their satellite lock or if there's some sort of solar flare or "test outage". By contrast, a fluxgate might swing 20 degrees, but hardly ever 90.
Now, one answer might be this device:
ComNav Vector G2 GPS Satellite Compass w/NMEA - 11210001 - Compasses - Electronics - NavStore - Your Pro Marine Source - Detail
but for that price I could buy a tiller and a lifetime supply of shock cord.
Of course, the belt and suspenders route is to use a wind vane when sailing, and to save the autopilot for motoring or motor sailing.