To win, simply move in the right direction for about an in-game week. You’ll know once you get there, but there will be no indications before you are close.
How do you figure out the right direction to move in the first place? Well, there are only 2 ways: find a compass (rare) or use the sun.
Sleeping is useful, but not required. Navigating at night is difficult, so you can sleep it out instead. You exert yourself less while sleeping, so you’ll burn less satiety than walking or waiting. Certain items can be used to sleep in but they don’t stack. Sleeping in items will keep you much warmer than sleeping without them. The best way to sleep is inside a cabin and even better if you use an item item inside a cabin.
The best way to stay warm is to wear clothes with good resistances and stay out of the water. Carrying more weight increases your exertion, warming you.
Avoid starvation by carrying a lot of food and eating it when you are very hungry. Mushrooms can be dangerous (some more so than others); you will probably need to eat them sometimes, but be cautious. Carrying more weight increases your exertion, which makes you hungrier.
There are 4 ways to get items, listed here in order of increasing quality: exploring outside, cabins, caches (transponders), and hunting. Cabins and caches both require keys, which are rare, so you’ll have to choose where you want to look for items carefully.