Best advice I've gotten is "stay put" unless you're 100% certain you know the grass is greener in a particular direction (i.e. you know there's a river or creek at the base of the hill you're on).
Best advice I've ever received for being able to be found... with an addendum: If you have to/do for some reason leave where you are, Mark in what direction you went and when you left as best as possible. If you are coming back, mark that too. As you go, mark your path. Break branches with both hands constantly. Rip up grass in fields. Order rocks in lines. Wreck the landscape as much as possible on your path. Choose a landmark from where you start, one that you can see most of the path you will take to it. Keep walking towards that landmark while you mark your path. When you get to that landmark, you will have a mostly straight line and will avoid having walked in circles. Reference your straight line behind you to choose your next landmark. Keep doing this.
Doing this will not only keep you on a generally straight course, it will also make it easy to both track and find you... If and only if you have to leave wherever you started from. You are still far more likely to be found if you stay put.