I have been in 2 of them. The first one was in a shelter on a golf course. The shelter had a water fountain with exposed water pipes going into the ground. When the funnel hit the ground, we looped our belts around the pipes and grabbed on for dear life. It went right over the top of us and blew the shelter away. The only thing that was left was us and the water fountain. It only lasted about 30 seconds. We watched it cut a swath as it went along it's way. Our clubs/bags, etc. were scattered down the adjoining fairways. We collected them and walked to the clubhouse. We walked in and the attendant says, "a tornado just went across the northern part of the course." No *****t Sherlock!
Keep a good weather app on your phone and keep it with you. It will give advance warnings. If you do get caught, you don't have much time. Find a ditch or culvert and get down.