How do you guys explore vast areas at start ?
If you do not wish to wait until you can make maps, get into the habit of identifying landmarks. Landmarks can be natural world features--the relative position of biomes nearby, that large hill you saw from your base area that you thought looked like a beached whale, a really large cave opening, etc--or you can make your own (nerdpoles, a tall tower, a giant blinking billboard that says "YOU ARE HERE.", etc). The point is that the landmark is something you can see from far away and has a meaning to you.
Landmarks won't help as much if you have world features blocking the view (ie, you're on the ground in a roofed forest biome or you've walked around half a dozen hills you can't see over), so another thing to do is to just pillar up as high as it takes before you can get a good look at the surrounding areas. Most of the time, you'll recognize something you saw before and if you're still close to base you might also even see that as well.
Now, during the day when everything is uniformly bright it can sometimes be hard to recognize places you've been before. When you're tired, bored, or just wanting to get back home, sometimes the trees and hills all start looking the same. You can wait until it starts getting darker to see what lights up nearby, usually making it easier to figure out what's where and where you need to go.
Finally, a good strategy for exploration purposes is to deliberately get lost. Don't load up on supplies to take somewhere else, don't gear up for battle or mining or building or whatever, just grab some food and a bed and just wander around looking at stuff. Get to know where stuff sits around your base, and more importantly, what things look like from those spots (it does little good to note there's a mountain to the southwest of base if you can't spot where base is while on said mountain).
On the building side of things, connect builds with roadways. They can be simple dirt paths or fancy bricked boulevards, they can be functional ice-boat roads, canals, whatever. The thinking is that these roadways will be generally clear of masses of treetops or other coverings that would hide them from view, and even if you did cover them up such things would be easily recognized as part of a roadway.