If the sting is on your legs, arms, hands, or feet, you'll want to remove and tight clothes, shoes, or jewelry immediately. Swelling will occur, in which case it'll be very hard to remove these items later.
The arm or leg should be elevated for this purpose as well. The less it swells, the better you'll feel, so keep those limbs elevated. If it's on your leg, lay down as soon as you can.