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For the the Train map in particular, it's the only area you won't be able to return later, but all your items will be "teleported" once you reach the second area in the game, so you won't lose anything.
From the second map onwards, just try to play smart and drop what you don't need in safe locations, preferably that have at least a couple different access points. And needless to say, the habit of hoarding everything won't do you any favor in this game, especially in the lower difficulties, because you might end up wasting time hoarding a lot of supplies that at the end you probably won't ever need.
As you progress through the game, a few shortcuts will unlock that let you return to early game areas, so there's no need to get obsessed with constantly moving every single item you've left behind from one area to another.
You also don't need to remember where you dropped any specific item, you can check on the map where each item you've left currently is. You also don't actually need to pick up items to let the map register their location, simply interacting with them will also work even if you say No when prompted to pick it up.