If you still have a ski then slice the snow until you hit it. Although sometimes they end up in the weirdest places. My friend took a swandive in Niseko and we found his ski 45 minutes later about 20ft down the hill, 10ft out to one side, facing uphill. They just take off like a submarine.
If you lose both skis it's a nightmare. The saying 'no friends on a powder day' becomes very true as all your mates ski their 3rd and 4th (and the rest) laps, laughing at you as they go past.
As people have said, take like 10ft of ribbon, attach it to each ski then either safety-pin it to your pants cuff or tie it to a boot buckle. If you just tuck it into your pants then sometimes it can pop out and not really unravel, but you don't need to worry about it like a leash since it's just ribbon and if you take a huge digger then it will tear and you won't have a pair of windmilling skis chasing you down the hill.