I think the information from "Protect and Survive" (an old UK civil defense pamphlet) is still relevant in scenarios like this. It recommends building an "inner refuge" - a sort of fort of dense objects (cans, suitcases, etc) around yourself in an inner room of your home or basement to attenuate gamma radiation. The advice is based on experiments carried out in the 1960s:

http://www.atomica.co.uk/main.htm