Find a nice big empty parking lot or grassy field. Drop a bag or something to mark a spot. Then practice going away from the marker and back.
Easiest --- straight out due north 50 steps. Return 50 steps due south. Master that first.
Next Easiest -- a square. Go 50 steps N, then E, then S, then W. How close are you to your starting point? Were you able to visualize where you were with respect to the starting point at all times?
Now try "straight out and back" and "square" paths with directions other than N/S/E/W.
Now try some triangle paths.
Now try 50 steps N, 50 steps W. Now figure out how to get back direction to the starting spot. If you have a mental picture of where you are in relationship to the starting point, it should be pretty obvious.
Next just fool around doing 10 or 30 steps in one direction, then a couple dozen steps another direction, for several different legs. Now guess what the distance and direction back to the marker is. This is what you will be doing in real life. For this exercise, it would probably be best to have a tall target at the starting point so that you can look back and see distance and bearing from quite a ways away. For many of the other exercises, it works best to have just a little, low lying marker that you only see from 10 or 15' away.
The other sort of thing to practice is to take a bearing and estimate a distance to some object, then see how close you can come to going there by just looking down at your compass and counting steps.
You may feel kind of silly walking around the park or parking lot staring down at a compass, but the experience will serve you well underwater.
Charlie Allen