I hate going in with a light. Not that I haven't done it, but it kills your night vision, lights up stuff except for the twig that gets in your eye.
I feel more blind with a light than without.
I worry about it scaring deer off, even though they just look at it. I usually start my walk in total darkness. I know where my stands are usually, so I don't usually get lost. This morning I got to my stand 25 minutes before sunrise. Just at shooting light. You should be able to see with moon light good enough to find your stand (where I hunt anyway).
I come out the same way. At least in the morning, it's always getting lighter, so if your lost, no problem. But, at night it just gets darker, so getting lost can be a problem, with or without a light. I do keep a light for blood trails, of course.