Make sure you have your compass and and keep track of time.
Whatever you do don't try to think you have a good sense of direction.
Many people have gotten lost because they thought they new where they were going.
Try to walk in a straight line blindfolded across a field, you most likely will not make it.
In order to not get lost just make sure you know where you started, have good attention to detail, and common sense.
Find different landmarks as your hiking, like a tall pine that towers over the rest or something that sticks out in your mind.
Most of all before you go take a look at a map, know where the roads are, so if you do get lost you will know what direction you need to walk to get to the road.
Remember details!! Keeping track of time on the way in and you should know about how long it should take you on the way out.
Also keep track of time between your landmarks that you mesmerized on the way in.
This way you should know about how long it will take to get from landmark to landmark.
While you are walking in look back and see how your landmarks look from the other direction because let me tell you things look different from the opposite direction.
If you want to you can leave markers by piling some rocks or leaving twigs along the way, but please don't use tags that you put on trees, most of the time they will get left.
If you do use tags make sure you remove them on the way out.
Keep our trails as we found them.
You can also use the sun as a marker for direction and time.
Remember the sun will give you an east/west direction.
If you don't have your compass you can use your watch with the sun to get direction.
Point the 12 at the sun and draw a line half way between the 12, the hour hand will point north.
This is a neat little trick I learned when I was younger.
Try to figure it out before you go so you know what your doing first.
If you point the hour hand at the sun draw a line between it the 12 will give you a south direction.
If you need to you can use the north star on the big dipper for a north direction, but hopefully you never get in that position.
You can try to use the wind, but that is not very reliable, mostly in the US we get a western wind and you can guide it off that.
Just make sure you know your conditions of weather before you go out also.
Make sure if you go off your line you know what direction your going in, to go around a lake or something that you cannot cross, and count your paces.
This way you will be able to count your paces back onto your line and keep going.
Good Luck.