Another approach is to magnetise the needle in your sewing kit. Then either float it or suspend it from a thread. If you are carring the sewing kit anyway, you get the compass for zero extra weight/volume.

I've seen it claimed that you can magnetise in the field, using static electricity or even the Earth's own magnetic field. I'm dubious about that. You can do it with, eg, the magnetic screwdriver on a Rambler knife, as long as you know which end is north.

I don't know how practical these things are in the field. If you can stop, take a bearing and turn it into a sighting of a distant landmark which you can then walk towards, that might be OK. If it is foggy and you can't see more than 10 yards, and you have to walk with compass in hand, then I'd want something big and stable.