[Time out for funny anecdote: When we moved to Pennsylvania to go to seminary, we got there just after Dormition (mid-August). The 2nd or 3rd night we were there we woke up out of a dead sleep to unmistakable tornado sirens going off. We bounced up and I tossed open the window and stuck my head out. It was about 50 degrees and clear: you could see stars. Father manually turned on the weather radio (Yes, we were there about 24 hours before it was unpacked and plugged in.) which had failed to go off automatically. We listened with bated breath while the computer-generated voice droned on about current (calm) weather conditions in counties we had never heard of. Still not willing to relax and go back to bed, we turned on the television and scouted around for local stations, searching for the inevitable meteorologist standing in front of a doppler radar screen plastered with red and yellow. Nothing. We discussed the unlikely possibility that the locals checked their alarm weekly in the middle of the night. Forced to give up, we headed to bed, still half listening for the light breeze to turn into a screaming maelstrom. The next morning we checked with one of the neighbors who explained that there being no local full-time fire station, the volunteers were called out - you guessed it -with a siren.]
Tip #2: Have a place in mind to take cover. Here's a good order of preference: Basement (in center or NE corner under something heavy-duty), windowless bathroom on 1st floor, windowless closet or other room on 1st floor, under a heavy piece of furniture and try to grab a blanket or something on the way there to cover up with if you have none of the above. Closets under stairs are good for this purpose. Some friends, newly arrived from California, panicked when they asked us about tornadoes and we nonchalantly started going through the above advice. When they said they didn't have a basement I asked about an under-the-stairs closet. They looked wildly at each other for a moment and then shouted that yes! they did have one. The wife said, "So THAT'S what that closet's for!" I managed to keep a straight face when I said that it was perfectly ok to use it for storage too.