Yes, even a faraday cage is protection from the electric field, not the magnetic field. Most modern compasses use either rare earth magnets or some variation of ALNIICO and are fairly unlikely to be demagnetized by common objects at normal temperatures.
Unless you pass by an MRI or a particle accelerator.
There is mu-metal, but I don't see the need. Just package it with normal things, avoid things with very strong magnets (some speakers do in fact have strong magnets, but not headphones)
Brunton Pocket transists have the ability to demagnetize some compasses (ask me how I know).
And some batteries do have magnetic componants and a magnetic field, which while it will NOT demagnetize your compass it can deflect if from the correct reading if it's near when you take a reading.