As a UFO researcher/investigator, I can tell you exactly what to do. The first thing is to try and capture an image of it with your camera or other image recording device, even a cellphone that can record still or moving images. Try and capture the image as quickly as possible because most UFO's move very fast. Photographic images goes a long way to giving some degree of hard proof for investigators, like myself, to go over the raw pixels of the image. In fact, I encourage people to try and carry some kind of image recording device, even if it is in their cellphone. Images make it so much harder to dispute UFOs (skeptics always attacking terrestrial witness for misinterpretation of mundane aerial phenomena). The captured video images of UFOs in Mexico bring that point home of hard, indisputable proof. Most of the images were of such high caliber that the skeptics were mostly very quiet. Not to say that everything you're going to photograph is a paranormal UFO...but you never know!
Terrestrial witnesses can sometimes give conflicting viewpoints on a distance of a UFO, especially if it is at a very high altitude, without an earthbound frame of reference to help distinguish height and distance. They may also vary on its description, depending on when they first saw it, and the nature of these UFOs, sometimes changing their shapes in mid-flight. A moving image or series of images taken can yield a gold mine of data, for an experienced UFO investigator, many of whom have science backgrounds or access to those who do for proper analysis of the UFO.
Even if you don't have a camera, either in your cellphone or on you, try and remember as many details about it as possible: shape, color, lights, windows, markings (if any), and any measurements that you can think of of distance and height of the object. Do not report your sighting to your local airport, radio/TV stations, and military bases. The civilian and commercial entities will simply not care, and the military will never acknowledge the existence of real UFOs.
Worse yet, if you have any hard evidence the military may confiscate it and never return them to you, even though they may not publicly acknowledge the existence of UFOs. The military may also state to you that since the closure of Project Blue Book, there is no active government investigation going on because UFOs simply do not exist, and all sightings have some kind of rational explanation to them (aka the Robertson Panel, et al). The military usually leads the way in actively debunking UFO sightings (Stephenville, Texas being adequate proof of that).
The 1950's secret Robertson Panel paved the way for active debunking of UFO and paranormal phenomena, by stating it as future policy (this government panel was borne out of a huge wave of UFO sightings that were besieging the USA around that time and the huge public interest that it generated). In other words, if vehicles are really coming from outer space or other dimensions, they simply do not exist, the government through its entities such as the armed forces will never publicly acknowledge that they exist, even if they may really exist. There are many in the UFO community who claim that there is a secret government manipulating the reality of UFOs away from the masses and primarily into the hands of its certain elite members. Whatever the case may be, handing over evidence to the military will usually result in a guffaw, a chortle, and a smirk in their voice.
The best thing you can do is to report it (along with any evidence) to local UFO research organizations. There are many excellent research organizations properly set up to investigate such phenomena that exists across North America and beyond, who do a very capable analysis of UFO sightings...and they live for hard evidence. My organization compiled many sightings and shared such info with other organizations, leading to some interesting conclusions. A trip through the Internet will help find some in your area. Research organizations are the best ones to deal with when it comes to sightings and any photographic evidence you may have. They are also most objective in analysis of the phenomena, after all their reputation is on the line as investigators. Any good investigator will objectively look at all of the evidence presented.
If your flying object is something explainable, and many are usually misinterpretations of mundane phenomena by people who simply are just not trained observers, usually an investigator will know within a short period of time by the compilation of all existing data. My research organization always knew within a short period of time. Your sighting could very well have been a UFO, and maybe even part of a much larger UFO flap of one or more seen over large areas. Throw in some good photos of what could be a real UFO and you've given them prime rib, steak, and shrimp to eat.
Trust me when I reiterate this: researchers are very hungry for good evidence. They can correlate it with photos, other research organizations to find out if theses UFOs were also over sensitive sites like nuclear reactors and military bases, and other phenomena associated with it, such as possible abduction cases of humans, cattle mutilations, Fortean (paranormal) phenomena and all of the associated phenomena that usually go hand and hand with sightings.