I feel like Heimdall needs to know where to look, though. Otherwise in Avengers (or any story ever) why bother searching for the bad guy? Just call up Heimdall and ask him where they're at.
and also, how would he knows who to look for if he doesn't know how the person looks like? like, "hey find jeff for me, would ya?" i mean, there are 245674 jeffs out there. how would he know which jeff he's supposed to look for? and it's not like cap has a picture of bucky he'd be carrying in his wallet all the time either.
bucky was just hiding by normal means though, and in the comics heimdall could find anyone who wasn't hiding using really powerful magic just by thinking of them, so bucky should not have been any trouble at all.