The last thing you want to take with you is what I call a ‘mobile home’. This is a stack of enough wood or dirt to create a temporary shelter. You’re unlikely to need much space- just enough to spend the night, which isn’t much if you’ve also got a bed with you. This is essentially the same as the temporary shelter I talked about way back in one of the earliest Minecraft articles- you’re looking to be ready to, at any moment, build yourself a rest stop with enough security to keep you protected from monsters- but without eating too much inventory space.
The reason I mention dirt and wood for this is that both resources are easily replacable and both resources are mine-able by hand. Sand or gravel would work even better if not for the fact that they fall- so you can’t create a secure ceiling with them. There are other considerations too, of course. While both dirt and wood are very soft, not stopping much in the way of creeper explosions, because both are easily replaced and easily gathered, you won’t mind leaving any behind too much- you may find yourself getting more as you go, and simply leaving up a number of rest-stops roughly a day’s travel apart from one another. This isn’t a bad idea at all, especially since you can use the rest stops as markers -and- use them as branching points for new expeditions later on.
When constructing your rest stop, you’re going to want to take security into account- opening up your camp to leave and getting immediately blown up by a creeper waiting outside is far and away not the most fun you could be having.
With this in mind, there are three big points you want to make when you’re assembling your camp for the night, beyond the obvious.
First of all, place your camp on flat terrain. If you’re in a hilly or mountainous area, put it as high as you can easily do so, so that you can avoid having monsters drop in from uphill or atop nearby hills or mountains. This will make sure you can look around safely once you poke a hole in your walls, and will keep you from walking out into a surprise ambush.
Second of all, when you build your camp, set down one or two layers of floor before starting on the walls. This will keep you high enough that a creeper lurking right next to your house can’t just wander over and blow you (and all your precious possessions) up just because it feels like it, and gives you a chance to spot the aggravating monster before walking into it.
Finally, make sure that somewhere around the floor level (most likely one block higher than it) you build a ‘lip’ of material that sticks out from the sides of your shelter. This will keep spiders from getting up on top of your building and chewing your head off as soon as you pull down the ceiling.
Now that you’ve got everything and prepared yourself, it’s time to move out and find your new home! Good luck!