If you are about to be captured and have a button compass, you can try to swallow it. That way if you have a chance to escape later, you'll have a compass that can at least keep you going in one direction. You'll most likely only be able to move at night, they'll be looking for you, etc.

Of course, if you DO swallow the compass, it will reappear later, likely from another orifice. need I say more?