I was watching True Grit, and got to thinking that it appears they sort of ride in a general direction.

Once you hit the plains, where the distance between towns/settlements was vast, how were they able to figure out where they were going? Were there paths? Was there the odd signpost? Did they simply use the sun and figure out which way was West?

How difficult would it have been for someone going from New York to reach California (in terms of finding their way)?