When Paul and Jessica leave the crashed ornithopter, Jessica asks where they are going. Pointing their paracompass, Paul says that they are going south. However, the sun is clearly low and directly at their backs. That should indicate that they are heading either West or East, depending on time of day. Also, it is the sun in the sky, and not a moon, since it is the main source of shadows.
In the opening scene of the second part, where Baron Harkonnen is sobbing as the Fremen are chanting Muad'dib, you can clearly see Paul Atreides duck down and run out to the right as the camera passes behind the Baron's head.