What can I do for a sebaceous cyst?

See your doctor. It should be opened and drained, especially if it shows any signs of infection (tenderness, draining, heat). If it's not draining or painful and you don't mind the look of it it can be watched (if indeed this is a correct diagnosis).

Related Questions

What can I do to heal/prevent sebaceous cysts on the pubic area?

Sebaceous cyst. Use of topical bactroban (mupirocin) can sometimes help. Matured cysts may need to be excised.