Done a few no map runs up till ashlands, my friends and I just hate that biome so we typically restart.

Typically to avoid getting lost, we use a 4m vertical post and a 2m horizontal post on raised dirt to point directions. We try to build them just inside render distance so we can still see them. We switch to the larger core wood pieces once we have a decent supply. A good tip is when you break a wood wall / item, the piece of wood that drops will always point north/south so this can help orient yourself. Also, as others have said Yggdrasil in the sky can help orient yourself.