The string or thread is certainly well supported in Greek and Roman sources. (Emphasis mine, in all cases)
When he arrived at Crete, as most of the ancient historians as well as poets tell us, having a clue of thread given him by Ariadne, who had fallen in love with him, and being instructed by her how to use it so as to conduct him through the windings of the labyrinth, he escaped out of it and slew the Minotaur, and sailed back, taking along with him Ariadne and the young Athenian captives.
Theseus (19), Plutarch
When Theseus came to Crete, Ariadne, Minos’ daughter, loved him so much that she betrayed her brother and saved the stranger, or she showed Theseus the way out of the Labyrinth. When Theseus had entered and killed the Minotaur, by Ariadne’s advise he got out by unwinding the thread. Ariadne, because she had been loyal to him, he took away, intending to marry her.
Fabulae (42), Hyginus
But the third tribute more successful prov'd,
Slew the foul monster, and the plague remov'd.
When Theseus, aided by the virgin's art,
Had trac'd the guiding thread thro' ev'ry part,
He took the gentle maid, that set him free,
And, bound for Dias, cut the briny sea.
Metamorphoses, Book 8, Ovid
I am not aware of any sources that tell of Ariadne actually accompanying Theseus through the Labyrinth.