This 60 second instructive video from the British Ministry of Information in 1940 offers excellent advice on what to do in an air raid. The most important thing: is don’t stand around looking up at the sky! Get under cover immediately.
From reading a number of memoirs of people who went through air raids in World War Two, I learned that some people just stopped and looked up when they heard the siren go off. (There were different sirens: warning sirens then immediate danger sirens which meant bombers were almost on top of you).
In Great Britain and Nazi Germany and Nazi occupied Europe, you could not be on the streets during an air raid. One of the reasons was the sharpnel falling from anti-aircraft shells which were set to explode at certain heights. I would guess that based on memoirs, probably 1% of people killed in air raids during the era were killed by falling sharpnel.
So the important thing was to get under cover!