What must I do if my puncture wound starts swelling?

Go to doctor! Fever, pus from the puncture wound, swelling/redness that's worsening, pain that is unusual or out of proportion, bleeding, ...If in doubt , call your doctor. These symptoms may mean your infection is getting worse, and may require surgical debrided net or IV antibiotics.
Get it looked at. Puncture wounds can lead of severe infections. These infections could spread deep down to bone. If it gets severe enough, this could lead to loss of limb or even life. With puncture wounds, one may also develop tetanus. Have the wound properly evaluated and treated to avoid preventable complications.