Honest answer: We put the family and pets in a bathtub in an interior (closest to center of the house) bathroom with a mattress over their heads, then we go out side and gawk at the sky.
More reasonable answer: Some, too few, houses are built with basements. Some people put in buried external storm cellars, often made of fiberglass or prefabricated concrete. There are also small circular storm shelters made of steel that can bolt into the concrete in a garage or on a patio, and internal safe rooms made of sturdy steel which can be built into a (large) existing closet. So whatever you can afford.
The fact that we allow construction without basements is hard to justify since a tornado will, on average hit every square centimeter of the Texas Panhandle over a 200 year period, and most of us have lost someone in our extended family in one tornado or another. But then a good number of our public policies are hard to justify, not the least of which being claiming part of Mexico in the first place.
