Sit or lie the casualty down
Check the wound for any stuck objects
Apply direct pressure with some clean material for 10 minutes to allow clotting (tea towel, muslin, spare t-shirt etc.)
Apply a sterile wound dressing
If blood comes through it, apply another one on top and more pressure
If blood comes through the second one, take both off and start again
If it doesn't stop then take them to A&E
For years we also taught to elevate the wound but recent studies have shown that doesn't actually make any difference. However I would still support the limb in a comfortable position and that may well be slightly elevated but not at the expense of direct pressure.
I can now also teach a course on catastrophic bleeds including the use of tourniquets and haemostatic dressings for anyone working in hazardous environments.