Assuming one wants to go from a 400x800 to a 1000x1000 orbit. The solution that require the least D/v is a Hohmann transfer, with one burn at the perigee and one burn at the new apogee (or vice versa).
Obviously no spacecraft performs an instant burn, and the real life solution is to start burning slightly before the optimal point.
However, I'm not sure which is the best heading to take for the burn:
Prograde (adjusting the heading while progressing into the orbit)
In the prograde direction of the ideal point (apogee/perigee), keeping a fixed heading for the whole burn.