Silva makes a cheap "key fob" compass that is simple and very reliable. I have bought several over my 30-some years of hunting,and have used them without fail,from little swamps and woodlots,to the "Big Woods" of N.Y. and Maine.
Just use the key ring to hook it on the zipper of your jacket. (I replaced the key ring with a leather thong and I just loop it through the belt loop on my pants) It is handy and always right there in front of you. Basic North&South, East&West, should easily get you out of anything but the most remote back country.
It's easy to get "turned around" in the woods,but in reallity we rarely ever hunt areas that we haven't "scouted out" and are fairly familiar with. So acually we are never "lost" just "Fearsome Confused for a month or so" in the words of "Jack Frapp"
(Brian Keith in "The Mountain Men")
A cheap compass should serve you well. Keep it handy,and use it often.