Lay low in your tub and cover yourself. Although modern tubs are not as heavy as yesterday's cast iron beasts, they are fairly secure to the structure. Covering yourself, such as with a matress will help protect against flying debris. I', sure you've see pictures of grass blades being driven into tree trunks (or similar images). The matress is to prevent you from becoming a target of high speed projectiles.

I would not try to run 1/2 mile to the fire station. I'm sure the funnel cloud would easily "outrun" you and your family.

If you are caught outside, find a low lying area, such as a ditch or depression and lie face down woth your hands over your head. The ditch helps keep the flying debris above you and your hands over your head is to help reduce head injury if an object strikes you in the head.