East or West is the best way to go, though North or South can work too. If you go East or West, the advantage is there are often some Mistlands that are adjoining Black Forests on the same island, which makes for a much safer entry into the Mistlands than a water landing.
Look for large Mistlands areas for exploring. The first Mistlands you hit will likely be small islands. These often don't have several of the things you need to find in the Mistlands, so better to move on and find a large patch. By large, I mean several thousand feet of shoreline or more, not a 100ft wide island.
As others pointed out, the giveaway that its Mistlands when looking at land from afar is the jagged terrain. When you get close, much of it will be wreathed in an impenetrable gray-blue fog all the time. This fog is noticeably different than the regular white fog one encounters from time to time.
Also, when you do find the Mistlands, keep an eye out for the areas that have little or no mistlands fog. In spots there will at times be "corridors" of non-mist areas, which helps greatly in moving along and finding stuff. And opponents are less likely to jump out of the mist.
Before going, craft a Wisplight (and some backups) before going in. Use the Yagluth drop to make the device that gets you the wisps you need for a Wisplight. Also, bring a Black Metal Axe. You will need it for the trees in the Mistlands to harvest materials. And definitely bring a portal and set it up in a protected location away from the Mistlands a bit (like in a Black Forest).

Have fun. And be cautious. Going into the Mistlands for the first time is like going into the Swamp for the first time. Everything is nasty and one can die very fast. Take it slow and cautiously until you get a better feel for it.