Last year was especially dangerous. I had two twisters approach within a mile of my rig last year, one less than a few hundred feet. The neighbor's Airstream trailer to where I was, said trailer became a treehouse, courtesy of the tornado.
The thing is to look for structures that are decently storm resistant beforehand.
Freight train noise, and nothing nearby that is safe? Bail the RV, find a ditch, get low. This keeps the wind from picking you up, and also minimizes the chance of getting smacked with some debris. It might help to grab a blanket if possible to wrap up in, just to mitigate getting hit by flying stuff while in the ditch. Protecting the head is important, because it doesn't take that big an object flying around, hitting the cranium, to move someone across the animal/vegetable line.
Bath house? Grab a blanket or some padding just so you have some protection if debris comes flying in, as well as protection against flying glass if the windows break.
In a vehicle? Too many variables. The road might be clogged with rubberneckers looking at the twister and not fleeing from it. There may be wrecks. There might be debris on the road, blocking exits. Use your best judgement. Sometimes it is good to keep going. Other times, it might be best to grab a jacket, find a ditch/ravine.
I watch the weather, and if there are warnings, I check the radar (many apps out there for that.) Depending on where I am, and what is around, if the weather is threatening, I might just find a nearby inn and rent a motel room for the night, just so that if something does hit, I have an actual structure and a bathroom (well away from flying glass) to hide in.