I don't believe there is any generally accepted protocol beyond the "rule of three" indicating distress. If there is, it is a very recent development. Generally, the best course for anyone who is lost is to stay in one spot until reached by someone who can assist them.

After all, until you are on scene, you can't give good advice. Many time people are incapable of further travel, either because of injuries or impassible terrain features.

Lori' comment about not treating the whistle as a toy is excellent. It should be an emergency device only.

I personally would also equip them with a signal mirror. It is light, cheap, and incredibly effective, with a much wider range than a whistle (as long as the sun is shining). The whistle and mirror make a very good combination.