It's highly recommended and useful to install and use "Find my iPhone" or similar apps and use a strong password on your iPhone.
Ther first thing you try to do when you lose your iPhone is to recover it anyway (it's different if someone stole it). So you can even exhaust its battery charge in a few minutes or hours by phoning to yourself, sending it the command to beep, and locating it continuously by GPS. Everything you do will be worth if you succeed, but which are the probabilities to be a honest one who finds your iPhone? So try to walk in its shoes, keep in mind that someone to find a valuable thing could expect some reward. In the other side keep in mind that if you're receiving GPS signal from your phone it's not very likely that someone found it.
May I give some advices?
YOU STILL DON'T CALL YOUR NUMBER
Gather as friends or relatives as you can inmediately, you never go hunting alone. You will also need a transport.
1.- Keep the calm and make a plot according with your circumstances and your social engineering skills.
It would be helpful to get access to internet, so you can go on iCloud Page (for using FindMyiPhone and selecting the Lost Mode) and your Carrier site (for blocking calls or even see the registry of calls)
2.- If you can localize and track position of your device AVOID making any noise on it before you know the next to do.
3.- In the first minutes is very possible that you are the first person to find it, so keep it in silence and try to go the place where it is found.
4.- Follow its tracks until you find it or you are as near as you can (the GPS accuracy could be of 10m). Look for it discreetly if there are people around there.
5.- If you are quite near of it but you can't find it there are to options: if you're alone send it the command to make a beep, if there are people around you send it the command to show de recovery message, but you should be very careful picking your words.
You should prevent to put the one who could have found your phone on guard, so don't let it know that you're around it or it will probably turn your phone off.
It's the time to offer a reward quite expensive to be engaging but not too expensive to be unbelievable, so send the proper message and watch the face and behavior of the people around you. If you're lucky enough this could be the end of your research. Try to reduce the amount of people around your phone before you make your phone to emite an acoustic signal.
6.- In the other side, if the tracks are continuously moving try to discover the transport which carries your phone, remind it's very likely that it's unawared of your phone (it could be a taxi, a bus, a train, etc...)
7.- Try to stop it or get on it in the next stop, then proceed like step 5 and so on.
8.- If you can't find it it's time to consider blocking out calls, but don't make your iPhone completely useless unless you are sure you won't recover it anymore.