First decision is are you going to try and walk out or wait for rescue.
If you're in a relatively small area, and civilization is relatively close, the weather and terrain isn't extreme, and you're uninjured, then trying to walk out is probably the better choice.
Otherwise, stay put.
If you stay put you use less energy, you can make a shelter and stay dryer and warmer, and most importantly a stationary target is easier to find than a moving one.
If you're stationary, once the searchers check a grid, they can cross it off and not have to look there again.
If you're moving, they have to keep checking all the areas they've already searched.