If you find lava anywhere, be sure to keep it marked. As soon as you get some buckets, go and collect as much lava as possible. Lava is an excellent fuel to use in the furnace. It lasts a long time so you can smelt as much as you want.

Lava is also one of the ingredients in creating obsidian, a rare block. With a bonus use like that, there's no reason not to carry lava. Get as many buckets of this as possible and become an efficient adventurer.