In a previous paper by Koike and Paunescu, it was introduced the notion of direction set for a subset of a Euclidean space, and it was shown that the dimension of the common direction set of two subanalytic subsets, called the directional dimension, is preserved by a bi-Lipschitz homeomorphism, provided that their images are also subanalytic. In this paper we give a generalisation of the above result to sets definable in an o-minimal structure on an arbitrary real closed field. More precisely, we first prove our main theorem and discuss in detail directional properties in the case of an Archimedean real closed field, and in §7 we give a proof in the case of a general real closed field. In addition, related to our main result, we show the existence of special polyhedra in some Euclidean space, illustrating that the bi-Lipschitz equivalence does not always imply the existence of a definable one.