Retrieve the foreign or incriminating material, inform the co-invigilator and the Examination supervisor. In my school, the next thing is documentation of the acts.
At my University in Illinois, USA, there are clear policies and procedures that must be followed by all instructors in the event that a student is caught cheating. The process could lead to failing the test, course in question or even dismissal from the university.
In my opinion, it all depends on the professors. Someone lowered the rating if it caught him at the beginning of the clock, someone gave a warning, and most interrupted the exam and gave a negative rating.
Unfortunately, today's students are more and more cheated at exams, perhaps because of lack of lectures, unworkmanlike professors, lack of motivation, too much unnecessary data. We have to think about it as well.
Cheating is a serious offense and the student must understand that. Depending on the year level or age of the student different approaches can be resorted to. The consequence of cheating in most schools or universities is clearly stated in the student manual or school policy. I have been involved in disciplinary proceedings at a college or university or postgraduate levels, and I consider factual mitigating and aggravating circumstances and I definitely put premium on a student's "after the fact" behavior and attitude in making my punitive recommendations.