Put compass in inventory
Drag to slot on quick bar
When compass is equipped in hand, turn to given direction, say, west
As long as compass is in hand, quickbar will show compass with needle pointing in correct direction
If you put the compass away, it'll point a different direction - I don't have the game open right now but for example if you're pointed north, the quickbar might show the compass pointed east

The difference is consistent, i.e. you can just re-learn which direction is which, so I consider it a trivial bug, but it would be nice if it worked.