Homing Beecons are a peculiar kind of Compass made using, funnily enough, a Compass, alongside Gold Ingots and Nectar.
Their function is to point towards a set coordinate. This coordinate can be set by shift-right-clicking on the block you wish for the Beecon to always point back to-useful for Erebus adventurers not using JourneyMap or similar.
Advanced Homing Beecons can rarely be found in the loot chests of Antlion Overlord Pyramids. These Beecons function almost identically, except, when held in hand and right-clicked, they teleport you back to the set location, allowing for very easy return trips from exploration or from distant dungeons.
It is worth noting that you are told ingame to "Sneak and click" to set a destination; this is not the case. It is definitely shift-right-click, or "Sneak and right-click".