1) Call the police as soon as possible. The quicker they are notified along with information about your vehicle, the quicker it can be located. If you have a Find It Stop It auto track and stop device, you will be able to track it via the app and provide this information to the police too.
2) Contact your insurance company. Start the claim as soon as possible as it can take time.
3) Leasing your vehicle or paying off a car loan? Make sure you notify them too.
4) Contact the DVLA. This is different to notifying the police as the DVLA can mark your vehicle plates as stolen, in case they are used for vehicle cloning.
5) Upgrade your vehicle security. If you are able to recover your vehicle, change your lock system in case your keys were copied. If you have to buy a replacement vehicle, ensure that you kit it out with several vehicle theft deterrents (steering wheel lock) or a GPS tracker like Find It Stop It.