I used to do Search and Rescue and I can absolutely tell you in all cases the best thing to do when lost is to stay put. Unless you are in immediate danger, or

I used to do Search and Rescue and I can absolutely tell you in all cases the best thing to do when lost is to stay put. Unless you are in immediate danger, or can move to a high point to get a cell signal but remain within visual range of your car/tent/etc. don't leave. SAR teams only have the resources to search a relatively small area (dozens of square miles at most), so if you start wandering off from your point last known (which we determine based on interviews with people with knowledge of your plans, tire tracks, open gates, cell phone pings, and other clues) you are removing yourself from the area where professional searchers and first responders are looking for you. Your time should be spent trying to create a signal. Make a small fire that you can keep under control and burn rubber/plastic to create dark smoke. Lay out reflective materials. Whistle, clap, or yell every 15 minutes. Keep listening for rescuers calling out.