What I do is I pick one direction that I care about and identify it - that way is north, or that way is towards the street, or whatever. Then I notice where that key direction is relative to my body, e.g. the street is behind me. Then when I'm walking, every time I turn I keep track of which way that key direction is now - I turned left and now the street is to my left, I turned left again and now I'm facing it, etc. It can help to think about the part of your body that is towards the key the direction - e.g. if the street is to my left I pay extra attention to my left arm and maybe even imagine pointing or gesturing to my left with it.

I don't go through this full conscious routine that often - a lot of it I can do intuitively - but I do use it in some cases, like when I'm getting off a train at an unfamiliar station. I'll notice when I plan my trip that the train is going east and I need to head north when I leave the station. Then when I get off the train I note which way it was headed, and I keep track of that direction as I wind my way out of the train station. Then once I get outside I'll reorient myself to identify which way I want to go (the train was going in that direction, so I want to go left relative to that direction).