What do you actually say when you don't know the answer in an interview?

This happened to me twice last week. A question I simply didn't know. The first time I went quiet and then guessed, and the guess was wrong. The second time I said "I'm not sure" and the interviewer just moved on, which somehow felt worse.

I've seen a few approaches suggested:

• Admit it, then say how you'd find out: "I haven't used that, but I'd start by…"
• Connect it to something you do know: "I haven't worked with X, but in Y I did something similar…"
• Think out loud so the interviewer sees your reasoning, even if you don't reach the answer.

Which of these has worked for you? Does it change between a technical round and an HR round? And how long is it okay to think before saying anything?