Actually, what I have done in the past when I get turned around (I never get "lost" <img src="/images/graemlins/grin.gif" alt="" />) is mark my current position visually, and then move on from there. The point is to always be able to at least get back to the place where you first realized you were lost. This way, at least you are not ending up further and further away from the people who are searching for you.

This has only happened to me one time (a fog came down suddenly). Of course I always have a compass, and more recently, a GPS.

Again, if you are lost and absolutely have to move, at least make sure you are not getting into a worse situation.