First phase should be how to detect very small items moving through the air that can receive and/or send signals. Since drones can be 100% plastic, wood, or other compound or material and move at very high speeds there should be some serious research and development going into this. As this would also help solve the were is the shot coming from problem without relying on sound. I would guess measuring the differences from sensors using air pressure, wind, temperature, etc. changes versus normal conditions in nanoseconds or picoseconds would be pretty good.
Second phase would probably be how to jam, intercept and/or repurpose the commands and guidance systems of the said drones. It is easier and cheaper to just have them land in a safe place and unarm, versus using ammunition to shoot them down. This would help in investigating and finding out who the owner is and improve defense capabilities without destroying evidence.
Third phase could be using scientific research from the first phases to create legal and regulation guidelines and policies. This would help filter out legitimate drones, home brewed drones and trace owners of the drones, plot previous flight paths and malicious usage (i.e. someone doing something with your drone without your knowledge and tracking who, when, what, where they did it).