Heglund had tried to enlist with the Norwegian army flight school in the autumn of 1939 but the admission deadline had already expired. When he completed his period of national service conscription he travelled to Zurich to study engineering. He was in Switzerland when Norway was invaded by Germany in April 1940. Heglund managed to reach the United States via Bordeaux and Portsmouth. In New York he joined fellow Norwegians (Bernt Balchen, Hjalmar Riiser-Larsen and some other Norwegian officers) in the Army Air Force. In July 1940 he went to Little Norway near Toronto, Canada.