I'm not kidding. They are serious.
Really! A whistling monster of a twister is bearing down on your house, and you are expected to remember to don your headgear?
I think a much more sensible (though expensive) approach would be to keep a safe room in the house, a hardened room in the interior of the house which is by design isolated from the rest of the house structurally. FEMA has a page on tornado safe rooms.