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.