  A practical and new Runge--Kutta numerical scheme for stochastic differential
equations is explored. Numerical examples demonstrate the strong convergence of
the method. The first order strong convergence is then proved using Ito
integrals for both Ito and Stratonovich interpretations. As a straightforward
modification of the deterministic Improved Euler/Heun method, the method is a
good entry level scheme for stochastic differential equations, especially in
conjunction with Higham's introduction [SIAM Review, 43:525--546, 2001].
