When I cached with my GPS-300, a compass was an absolute necessity, because of the crudeness of the pointer screen and the slow response of the unit.
Now that I've upgraded my GPSr, I only refer to the compass after I've been standing still for awhile. A small plastic compass on my wristwatch (which I found in a cache!) is what I refer to most of the time. I also carry a nicer lensatic compass in my cache bag.
Remember that with a GPSr that doesn't have an internal compass, the bearing (referenced to North) is always correct (at least to the accuracy of the GPS fix). The unit can only figure out your heading if it's moving.