Because I'm always lost, I'm currently building a road system on the water (there's a lot of water around my map), and small way-stations at the crossroads (small buildings with a chest, furnace and workbench) where I can hide during the night and unload the stuff that I've mined during the day. Currently working myself toward two big cave systems which I know about.
The only annoying thing with my first waystation is that it's on the water, and zombies and skeletons tend to stay in the water when day comes, so they don't burn up..
My second waystation is on a beach, at least. The third one will be right beneath a mountain with a big cave.