North, south, etc, are common nouns, like house, water, horse. Common nouns don't have capitals. 'He sailed north' is correct.
Proper nouns are the name of things like people, places, planets, etc, and are given capitals as in John, Paris, Jupiter. Note that the common nouns 'north, south, etc' become proper nouns when referred to as places. 'I live in The South', 'East Dulwich', 'North Dakota'.
'Northern, southern, northerly, southerly, etc, are all adjectives, and are not normally given capitals. The exception is when they are part of a proper name, as in 'Great Western Road'.
Hope this helps.