In Colorado we don't get tornados as often as you guys out in the plains, but it's still quite common. I rarely ever head to the basement as everyone else has mentioned. I remember even just ignoring sirens one time and going back to sleep. I'll just keep doing whatever if it's just sirens alone.
If it's raining, super windy, clouds everywhere, then yeah I'll probably take action and head to the basement. But that is so rare anyways.
There was one time I was working at Wal-Mart when the sirens went off. As usual, the store kept on with its business, they did announce over the announce system there was a warning but that was about it. But then a bit later they had all the employees pull to the back of the store, that's when I knew there was an actual tornado nearby. They also urged all the customers too.
Some customers were furious they couldn't pay for their stuff and were complaining. Our management simply said we recommend you stay here since there's a tornado spotted a few miles away, but you're free to leave on your own if you want. Many left, many thought they were cool and stole as they left as "retaliation" for being inconvinienced (America loots again when there's a natural disaster, haven't we seen that one before).
Anyways, the tornado actually ripped up another Wal-Mart a few miles away, so there was real threat to actually have a store lockdown like that. But even in lockdown, customers were free to leave at their own risk, and many did with no care even though there was a clear danger outside.