Well honestly there isn't much that you can actually do, if you're near where a nuclear bombs is set off then chances are you'll get caught in the blast and be dead before you actually remember what I'm typing right now.
The thing is, if you manage to actually survive the blast or you aren't in such close proximity to the blast that it would affect you, the first thing you want to do is pack up your things and get moving.
So the first thing you need to do is confirm the direction of the wind, if it's coming from the direction of the nuclear blast then most likely the radiation cloud is coming your way and the radiation might have already gotten to you. If the wind is going towards the mushroom cloud that the blast creates then please go in the opposite direction of the wind, that way there's no chance of radiation reaching you because the wind is blowing it in one direction and you're moving in the opposite direction.
Now once you get outside, hold your thumb up next to the mushroom cloud that the nuclear blast is going to create, if it's smaller than your finger then you need to get as far away from that place as possible, if your finger is smaller than it then chances are that you're safe from the radiation.
You then need to still keep going further and further away from the cloud as possible, and ensure that you aren't going in the direction of the wind that is pushing the mushroom cloud. The greatest danger of nuclear bombs isn't the blast itself, it's the radiation that follows.
You need to then get to any government decontamination zone if any and scrub yourself down so that any radiation that you might have come in contact with will not harm you. If you can and I know it's pretty difficult, get out of the state or even the country because the winds can be unpredictable, it could push the mushroom cloud your way eventually.
Watch what you eat and make sure that anything you're eating isn't from the general direction of the mushroom cloud if not you could invest contaminated food and cause yourself to have radiation poisoning.
That's all I know, I hope it helps.
"Duck and Cover"
The best approach is to leave heavily urbanized areas and move to a moumtain site.
Find a spring, build an underground shelter and wish for the best.