This instinctive response is often the right response. Using a large dressing (or bare hand, if need be), apply heavy pressure to the wound. It's best if there is a dressing over the wound, one that can be constricted, such as an Israeli bandage. It's also helpful to elevate the wound, if it's on an extremity. When flat direct pressure over the wound is not enough, try packing the wound with gauze. Wad up a ball of gauze and insert it into the wound, following the ball with as much gauze as you can pack. Then apply another flat dressing over the surface.