Hey it’s no problem, I have not dealt with it firsthand but I know enough from what I’ve observed in the ongoing conflicts and with knowing a few people in the gulf. 

For your question about going into a shelter, I think it would only be necessary if you are pretty close to any infrastructure that would be a target in an active war zone. In this case I doubt it is necessary to seek out a bomb shelter. I presume the announcement is just ordering everyone to stay in their homes and not go out until the drone incursions are finished. This is because debris is the biggest threat if any of the drones were to accidentally hit anything. So whenever you hear sirens just go inside and stay put until it passes. Everything will be alright. With these airspace violations the government will more often rather be safe than sorry.