Here's some information resources on conventional magnetic compasses, and instructions on setting up a sun compass if you don't have one.
Anyone who spends much time in the outdoors should carry and learn to use a compass, unquestionably an essential survival tool. There are many excellent books on the subject, including Be Expert With Map and Compass: The Orienteering Handbook, by Bjorn Kjellstrom (Scribner's, 1976), which is currently out of print but should be available in libraries, and Staying Found: The Complete Map and Compass Handbook, by June Fleming (Random, 1982), sold in most bookstores for $4.95.
In addition to honing your skills in the use of man-made direction finders, you may well want to know something about sun compasses.
As everyone knows, the sun always rises in the east and sets in the west. It follows, then, that shadows invariably move in the opposite direction — a fact that you can use to plot true north any time the sun shines.
Find a stick about a yard long and push it into the center of a fairly level and brush-free spot of ground. The limb doesn't have to be vertical; you can lean it, if necessary, in any direction that gives you the most convenient shadow.
Once the stick is securely positioned, mark the tip of its shadow with a stone or twig. Then wait 15 or 20 minutes (or until the shadow's point has moved a few inches) and put a second pebble or bit of wood on the ground to denote the new location. Finally, draw a straight line in the dirt from the first marker through, and about a foot past, the second.