Of course a sphere works, think about it logically: If you travel along the surface of a sphere in any direction, you'll end up back where you started. The problem is simply a matter of perspective, by comparing it to traditional maps of Earth you're getting nowhere. To make all directions loop properly, all you have to do is stretch the sphere flat while cutting only a single point in it, let's use the north pole. Now, stretch it out into a square. The entire perimiter of the map is the north pole, while the south pole is in the center. On a sphere, moving over a single point in a strait line causes you to come out on the other side of that point. On this version of the map, since the perimeter is a single point, you always come out on the other side.