Not having done any PID work, my opinion is suspect...but I do have some half-baked intuitions...
"P" gives you an instantaneous measure of how far away you are from your desired (in this instance) location. For example, you're 2cm left of the line - you should probably turn right. The question, is how much to turn right - the amount is the "gain" for this term.
"I" gives you a way to deal with not quite catching up to the location. This helps deal with systemic errors that would otherwise be uncorrectable. For example, imagine following a line with a continually increasing curve. Your P term will tell you that you're left of the line; you adjust a little bit, and on your next measurement, you're still left of the line; you adjust a little bit, and on your next measurement, you're still left of the line. The I term allows you to sum these errors, and increase your gain (how much you turn) to get directly back over the line. It also helps deal with mechanical uncertainties - for example, if telling your steering to move 1 click to the right doesn't actually cause anything to happen (due to slop in the mechanisms), this term will help you get directly over the line.
"D" tells you how fast (and in what direction) the error is changing. Imagine a situation where you are way left of the line - you crank the steering hard right, and after a measurement or two shoot past the line, and are now going away from the line to the right. The D term allows you to say "hey, the error is getting smaller, maybe I should reduce some gain".
Control theory helps to define the optimal values for the gains for each of these terms; providing, of course, that you can elucidate the equations of motion of your system. Barring that, you'll need to do some tweaking of the gains that you assign the different terms to make things stable.
So,
P = How far off center you are - a Direct measurement.
I = Sum of P's over time. Some should be negative, some positive, you're trying to keep this 0.
D = Difference in P between now and the previous measurement. Use this to see where you're going to be in the future, and use it to help adjust your gain.
/frank