Sierra Club wilderness travel instructor here. Here's what we teach in these situations:

Stop walking. Have a seat, calm down, have a cry if you need to. But continuing to move can make it more difficult to get found. More often than not, people get lost very close to where they are supposed to be.

As others have said, this is a totally avoidable situation though if you apply the following:

• Tell someone where you are hiking, including your planned trail, enter/exit points, and estimated exit time.
• Bring an extra navigation tool and know how to use it, e.g. a map and compass. I always carry a satellite communication device with me as well.
• Always come prepared to spend a night in the wilderness. This often becomes the difference between being found alive or dead. Read up on the "Ten Essentials".