How do you actually make use of Azura's Star? I have it in possession and soul-trapped a Golden Saint, but the soul ended up in a normal gem instead of the Star. Am I missing something obvious?

By normal gem I assume you mean a grand soul gem since that's the only kind below the Star that would be able to hold a Golden Saint.

Well I make use of it by it being the only soul gem in my inventory since whenever you soul trap something the soul will be placed in the lowest possible class of gem that can hold it. So as long as you have an empty grand gem and trap saints then their souls will be placed in the grand gem instead of the star.

Got it. Thanks!