Wrap yourself in overcoats or blankets to protect yourself from flying debris. Stay away from glass enclosed places or areas with wide-span roofs such as auditoriums and warehouses. See the left figure for an example of where to go in a school. Crouch down and cover your head as shown in the right figure. Stay away from exterior walls or glassy areas.
Most deaths occur in cars and mobile homes.
If you are in either of those locations, leave them and go to a substantial structure or designated tornado shelter. The picture below illustrates clearly what a violent tornado can do to a car. Lie flat in the nearest ditch or depression and use your hands to cover your head. In the picture above, the man and his child were swept away in their truck by water flowing over a roadway, before being rescued at the last minute. Avoid small rivers or streams, low spots, canyons, dry riverbeds, etc.