Eat something, get a drink of water, climb a sturdy tree, check the sun, shoot an azimuth towards higher ground to get a better look around.
Make a sturdy walking stick/defensive stave, find reliable shelter each night, make a fire, check the stars at night to determine my relative longitude, leave carvings on anything that look like trails telling any potential passers-by that I am lost and which direction I am heading and when.
Without any other indication of location, I would likely head west. Civilizations tend to spring up in the west of biomes until you get very far north or south. Every now and then, make a very large fire in a sizeable clearing to spread smoke and maximize potential for notice, make smoke signals for S.O.S. (Though it is outdated)