Just get a watch with a compass. Casio makes some relatively cheap ones, as well as more expensive ones with other features, such as a barometer/altimeter and thermometer. I have the Casio with those features, and it is very useful.

However, I think most digital compasses need to be kept at a certain angle (flat to the ground) to be accurate. if not flat, the error can be really big, like 40 degrees or so.