THE PLT WAS BRIEFED ON FLT PRCTNS FOR IFR CONDS, TSTMS & OCNL MOD RIME ICING. DRG THE CLIMB, HE TOLD ATC HE WAS HAVING TROUBLE WITH HIS VACUUM & WAS DISORIENTED. ATC CLRD HIM FOR ALTITUDES HE COULD USE & BGN PROVIDING NO-GYRO VECTORS. A WXCHECK REVEALED THERE WERE NO ARPTS WITH VFR CONDS W/I 100 MI. THE PLT ELECTED TO DIVERT FOR AN ILS RWY 17R APCH TO THE WILL ROGERS WORLD ARPT. AS THE FLT CONTD, THE PLT RPRTD HE WAS STARTING TO "PICK UP A LITTLE ICE" & WAS HAVING TROUBLE CLIMBING. WITH ATC ASSIST, HE MADE AN ILS APCH, BUT WAS TOO HI TO MAKE A NORMAL LNDG. HE WAS TOLD TO CLIMB & TURN RGT FOR A MISSED APCH, BUT THE ACFT TURNED LEFT TO AN EASTERLY HDG & CRASH LANDED NEAR THE CENTER OF THE ARPT WITH THE GEAR DWN & FLAPS RETRACTED. THE GEAR COLLAPSED ON IMPACT. THE ACFT SLID 330' & STOPPED ON RWY 17L. IT THEN BURNED, DESTROYINGVACUUM HOSES, REGULATOR & MOST OF THE ATTITUDE INDCR, BUT THE VACUUM PUMP WAS STILL OPERABLE. ALTHOUGH THE ACFT BURNED, PIECES OF THICK ICE WERE FND ON THE LEFT WING. THE ACFT WAS NOT EQUIPPED FOR FLT INTO KNOWN ICING CONDS.