Rule 3 - THICK ROUGH
Whether you find the ball or not, you can chose to drop out of the rough at the nearest point of entry, no nearer the hole. 1 stroke penalty

Rule 4 - LOST BALL
Drop out of the rough at the nearest point of entry where you think your ball landed, no nearer the hole. 1 stroke penalty.

(If you do wish to return to where you last played from instead (ie: the tee) you can but it is still a one shot penalty)