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The best thing would be to go to a shelter built specifically for a tornado (like an underground shelter).
The keys are the follows:
Stay away from glass -- windows, doors, etc.
Go to the lowest level of your house, in the center of the house, away from objects that might fly and hit you. If possible, cover yourself with a blanket or mattress.
References: http://www.crh.noaa.gov/lmk/spotter_reference/spotter_slideshow/slide67.php , http://climate.ok.gov/tornadosafety/homeandschool/default.html
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