Unless you are going to have something based in a computerized electronic device, such as a cell phone or gps unit, or you are going to carry something large, or a magntic compass. You can get a magnetic compass in various sizes, but you seem to want something small that will not take up space in a pocket.

It's not the most accurate compass in the world, but maybe you should think of one for a zipper like: http://www.campingsurvival.com/rozipuco.html.

I'm not big on carrying a compass, I experience about one time a year when I feel like I want one on land, and that soon passes. Generally, I figure out direction without much thought at all, kind of an innate skill. However, I do have a couple of these, just in case, and because of the ease in carrying them.