With the map open (m) you can right-click anywhere on the map and create a waypoint
Waypoints will be visible on the map and on your HUD

• Waypoints can be removed by right-clicking on the waypoint from the map
  
• The server has an option to cleanup all waypoints in the server tab

Beacons work similar to waypoints, except they can be activated in an emergency on a vessel or in the inventory of a Nautikin.
Emergency beacons can be found at various buy shacks.
Beacons can also be activated on vessels with interaction mode.

The flare launcher is a cheap but effective way to give someone far away or in the sky your location in the event you need to be rescued. It is also fun to fire indiscriminately.
The flare can be fired by using interaction mode to aim and then left-click, it may be easier to aim in first person.