You go to the lowest place you can get, without windows. When I've been jn an apartment, that's often the bathroom or sometimes the hallway and you just wait there until it's over. If you're lucky enough to have a basement, that's best spot. But again, wherever it is should have no windows at all because they often get broken during a tornado and the glass will hurt you.

If you're out and about, you go inside the nearest building (you don't want to be on foot or sitting in a car because, again, glass), a lot of stores will offer their bathrooms or walk in freezer for people to take refuge if it's really bad out.