There are three priorities a person has when lost in a desert. First is protecting oneself from the effect of the sun. The second is finding a source of liquid nourishment. Finally there is the matter of orientation, and finding a direction to follow.
Protection from a desert sun is vital even if that desert is a cold one because of its energy draining properties and effects on a person's eyes. Worst than energy draining, over exposure to the harsh rays will burn the skin, accelerate dehydration, and increase frustration. For these reasons and others it is best to find a place to take refuge, however, there can be dangers in that action as well.
In searching for shelter it is best to realize that upon finding it you probably won't be the only one looking for it. Rock crevices, cacti shade, and the rare oasis locations are a natural draw to regular desert inhabitants that can include venomous snakes, scorpions, and spiders. For this reason it is best to carefully inspect a potential resting spot for threats. If no threats are found, then it is the perfect place to logically think how to get out of the desert or think about the remaining priorities. If there is no shelter available, it is best to find a source of hydration.
In a desert there are few places to find water, and it's likely that the connivance of finding an oasis is close to impossible, however, there are other options. Cacti species, easily identified by their thick waxy skin and spines are the best source of water. The trick after locating these plants is bypassing their defenses, but nothing a rock with an edge can't solve. If no rocks are available, then shoes on the feet, a belt buckle, or even the frame of a pair of eyeglasses can be used to scrape the spines away from an area and drill a hole into the plant where a small portion of liquid cacti sap will be, that is mostly water storage. If the plant is small, it is best to make the hole from above and then pour its contents into your mouth (up rooting the plant), or leaving the plant standing and drilling a hole into its upper stalk and drinking from there. A lower hole later may yield more, so it is important not to be wasteful.
Aside from cacti species, water might exist under the surface of the sand if rains have been recent. By digging into the sand (cautiously, as there is no telling what might be in it) there's the slim possibility that some residual liquid is remaining. If there isn't, are no cacti, and no other source, remain calm and concentrate on the last priority.
Although this could easily be the first priority if you've only just become lost, it could be the most difficult for the same reason, and that is to establish your present location and direction. If it is the middle of a calm and clear day, then the first priority would be shelter, as direction is irrelevant unless certain landmarks can help. However, at later times of the day, night, or early morning, direction can be obtained through the setting and rising locations of the sun, and stars at night. Being knowledgeable of the location of civilization or your initial area you were before being lost would help move you towards the right path. If not, then area sweeps using straight lines from a marked landmark may lead to something familiar.
Remember to travel at times when the sun is low in the sky as to avoid the heat of the day and the cold of night. Try not to panic and be methodical in your efforts. Sustainability, direction, and persistence will reward your efforts.