I never managed to make a map, and you really won't want to glance at your map in the middle of a fight to figure out that your opponent is 3 locations away, 'cause by then he probably won't be there anymore. Anywho, it takes a lot of memorization and time. Start with Path Entrance quests, write down the directions to do them and start trying to make a mental map of it. Find your way from Mercinae to Parrius and back, again making a mental map. The sketch of the world and cities and the main website is somewhat helpful.
Client mappers can be helpful too, but eventually you'll need to have most of the world memorized.
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*It is sometimes a mistake to climb; it is always a mistake never even to make the attempt. If you do not climb, you will not fall. This is true. But is it that bad to fail, that hard to fall? ...And sometimes, when you fall, you learn to fly.