Field & Stream.
Even seasoned outdoorsmen are not immune to woods shock-the fear that accompanies spatial disorientation. You have to control the urge to panic and maintain some sense of inner peace. People who are lost progress from confusion to denial. They bend their mental map of where they think they are until it conforms to visible landmarks or their compass needle, and then they carry forward until they finally wake up to what their senses are trying to tell them that they’re lost. This is when panic hits. If you can recognize the sequence, you and a better chance of resisting the impulse to take those next potentially fatal steps.
Stop walking and establish a home base. If daylight permits, you can make forays to try to find a vantage, but mark a trail for your return. If you can’t regain your bearings after short walks in several directions, return to your home base and make camp, preferably in a lee with an overhead canopy.
I think this is the most important advice. The other parts (about waiting for rescue) are debatable.
In fact, I wouldn’t even begin forays from home base. If you’re lost and you know it, stop. Set up camp.
Build a debris hut, lean to, or some sort of survival shelter, and begin collecting deadfall for firewood.
Better yet, it may end up being a wet night and you may die from exposure. I’ve always recommended at least the following (even on a day hike): rubberized poncho, 550 cordage, flashlight, fire starter, large knife (or hatchet), pistol, parka, energy bars and potable water.
Water and food keep you alive and give you energy. The poncho and paracord give you shelter from the rain. The parka keeps you warm, the knife or hatchet gives you the ability to cut wood, and the fire starter prevents you from having to make fire by primitive means (or fail to do that because of dampness). The pistol is for predators.
With these simple preparations, your chances of survival go up exponentially. If you really want to be prepared, a cup for boiling water would be the final step in your preparations.