Stop

When lost your first objective will be to stop. Take this literal, you want to stop moving, and if you can sit down.

Think

Then you need to think. Try to calm yourself down, and take nice slow breaths. Once you are calm proceed to Observe.

Observe

Look around you. Ask yourself these question: Are you in a safe spot? Are you or your companions injured? Is there any wildlife near? What kind of area are you in? What is the weather like? Will the weather be a problem? Look at your materials, what do you have? How long can you survive?

Plan

Once you have all you answers create a plan. Plan as if you know you could be out in the wilderness for many days. Your plan is dependent on your  position and your situation.