Not trying to be facetious, but you just kind of do it. I think it might be something that you just subconsciously keep track of once you really become aware of it. I remember it seeming like magic until I was maybe 15 or so, and then I had landmarks for each direction in my mental map and could figure things out in reference to them. After a bit of that, I could mostly stay oriented when traveling by land, and now it’s not an issue even when I fly somewhere. I went to England for the first time last year, and I had the cardinal directions sorted probably by the time I’d walked from the train to my hotel.
Once you’ve got it down, you just sort of do it on autopilot.
At least in that case, we could look forward to one of them saying something dumb like, “The moon is fake, it’s not like I could actually go there.” NASA leadership could launch a mission to send them to the moon to prove it real and just go, “Oops, we missed. Darn thing moved on us.”