Bend a steel paper clip or short length of wire cut from a metal clothes hanger into the shape shown in the diagram. Magnetize the wire by stroking it with the pole of a strong magnet. Then balance the wire carefully on the surface of a penny so that it can swing freely. Make sure that you stand clear of the magnet or other metal objects.
The wire will swing around and point to magnetic north (or maybe south if you used the other pole of the magnet.)
Some refrigerator magnets will work for this.
Or you could use the electromagnetism method described in Elective 4 of the Big Bear Book.