If you live in a site built home, during a tornado warning you must find a small room (hallway, closet, bathroom), on the lowest floor, away from windows, and near the center of the house. Put as many walls between you and the tornado as possible.
Crouch as low as possible to the floor, facing down; and cover your head with your hands. A bathtub may offer a shell of partial protection. Even in an interior room, you should cover yourself with some sort of thick padding (mattress, blankets, etc.), to protect against falling debris in case the roof and ceiling fail.
For those that live in mobile homes, you have to leave and go to a more significant structure or shelter.