First off...identify the bug! Take a picture and google it. If it is a common household pest then you can find out the best way to treat it. If it is bedbugs, seal the room, strip off anything you are wearing and leave it in the room, call in the exterminator who deals with bedbugs. They are very hard to kill and you want to get them before they spread.
p.s. Get dressed before the exterminator arrives.