Fortunately, with a nail, a lump of wood and a few spare hours, you can construct a sun compass.
(To do this Instructable properly, it is not absolutely vital to be wearing a Viking helmet, but it helps. It's a long time since mine last came out of the shed...)
Step 1: Make your Sun Compass.
Bang the nail through the piece of wood. No, don't use a rock, you're supposed to be civilised. Use a hammer.
Yes, really, you're done. All you need to do now is calibrate it.