You'll know you're in the Lost Woods when its title appears on the bottom left of the screen, and things get eerie.

You may want to dismount your horse here, because if you travel too far in the wrong direction in the Lost Woods, you will be engulfed by fog and teleported back to the entrance. You'll notice a lit Torch stand right beneath the arch at the entrance.?

Take note the direction the embers are drifing in, and go in that direction only. It should bring you to another torch stand, which you should also follow using the same method. This should get you to the final two lit torches just fine, but here is further instruction: From the first torch head North, North again, then West, West again, then South, and finally look West to spot two torches in the distance before a large Ogre Tree with a chest in its mouth.

From the two torches, things get more difficult - There are no more torches to guide you, and if you go the wrong way you'll be quickly enveloped in fog and brought back to the torches. If you are quick to react you can escape the fog - but it moves extremely fast.

In order to find your way, use a torch or any other flammable weapon and light it at the two torches. Conveniently, there's an unlit torch leaning against one of the stands.

Stand still and look at the embers flying off the top of the torch. They will be blowing slightly in the direction you need to go. If you accidentally put out your fire, you can always drop it on the ground and relight it with a Fire Arrow, or by dropping a piece of Flint next to it and striking that with a metal weapon. Keep following the embers and you will eventually find your way to Korok Forest.