I'm not aware of an app that will track your every step for replaying, but something you might find helpful is the Base app included in Jack of Tools Pro. It allows you to log a location and then it can later point you in the direction (as the crow flies) you need to go to get back to it. It won't tell you exactly which streets you need to turn on along your route, but it should generally be enough to help you find your way back if you're on foot. Even if you decide this doesn't suit your needs, there are a lot of other handy utilities in Jack of Tools Pro - I consider it more than worth the $1.99 USD.
Another option is to just save whatever location you want to return to in your Maps app, and then ask for return directions later. Again, this won't necessarily take you back along the path you've walked but it should be enough to get you un-lost. Do bear in mind though that most Maps apps do rely on streets to get you where you're going - they probably won't be so useful in the woods as something more rudimentary, like Base, might be.