Great question! Usually, shops and transport stop, and you need to find cover. I highly recommend reading
https://visitkyiv.com/visitor-essentials/air-raid-alerts-in-kyiv/ It’s a complete breakdown of what to do: from finding the nearest shelter to using the Metro for safety. They also suggest specific apps you can download to get the sirens right on your phone in English. It’s better to have those apps set up in advance so you aren't caught off guard while sightseeing. The guide even covers what to pack in your basic emergency kit!