The first thing to do is toss whatever you're smoking, drop and roll or duck and cover whichever is more appropriate. The second thing you do, is to take out your cell phone and get lots of pictures. The third thing important to remember is, don't be a hero, the future of mankind is your paramount concern. If you can safely commandeer a spaceship or snatch some highly advanced technology, go for it. Be on the lookout particularly for long life batteries, ultra conductive electrical materials and ultra heat resistant materials; if you can find any anti-gravity machines or ray guns grab them too. If you can get any DNA samples, they will be helpful. Remember you'll need bodily fluids, hair, skin cells, or fecal material. (Oh come on, now is not the time to be squeamish.) If you can abduct a whole spaceman, dead or alive, that would be even better. While you're going through this ordeal try to take good notes for your upcoming book.
If you find that you been abducted, remain calm, try to keep your head. Try to engage the aliens in normal conversation assuring them that you are no threat. Tell them that you will willingly submit to any biological examination as long as it doesn't hurt (if it feels good, even better). Let them know, right off the bat, that they will not have to use torture to get information out of you!
If they want to take you to their home planet, and you don't want to go, ask them if they would consider an alternate choice. That may buy you some time to consider which "space shot" among your friends and family you could get away with sending instead of yourself. But don't worry in every case, we have heard of, the aliens have eventually turned their captives loose.
After all this, once you find yourself released or if you are not abducted, you'll want to get the hell out of there! If you were able to procure evidence to prove the existence of UFOs take them directly to your local newspaper and/or TV station. If you are unable to acquire any evidence of UFOs go directly to your licensed physician or psychological therapist as you will have a lot to work out with them.