I am a ER nurse, and am currently working on my Nurse practitioner. Have many trauma and emergency certifications that I could bore you with. This is what I would do in this situation, an what I have been taught to do by many people with many more years of ER experience than me.
I will try not to throw out a bunch of medical jargon and keep this simple. No one answer is completely appropriate to every situation. The decision you make at this point needs to be based on if the object can be removed easily or not. if you can remove the broad head without causing a tremendous amount of damage I would remove it. Why?
With the object removed I can apply pressure directly to the spot, and attempt to stop the bleeding or slow it. Pressure will need to be applied just above the injury and directly on the injury. Hold for at least 10-15 minutes before you start moving if you can. With it out I can also assess the wound to determine if I have arterial involvement or not. If its a vein bleeding will be a constant stream of blood. Arterial will be a spurting of blood that happens every time your heart beats. If you happen to have hemostats with you in a medical kit, clamp large arteries that are severed to stop bleeding.

If you do decide to leave it in, understand that it is going to cause more damage and trauma every time you take a step. It will also be less painful to walk without the object in your leg. If left in you may need to use a tourniquet along with pressure to slow or stop the bleeding.

If you have clot packs, only use if you are going to be a long ways from hospital or the bleeding is severe enough that you could bleed to death before you get there. Note that this would only happen if you sliced a large artery, take anti platelets or blood thinners, or did nothing to slow the bleeding. They make a dang mess when you are trying to clean and irrigate a wound, and also prevent the wound bed from healing nearly as fast as without it.

If you feel "shock". Lay down and chill out with your legs elevated for a few minutes if you can. It is a natural response from our body. Fight or flight syndrome. You are more than likely getting yourself in a panic and this will elevate heart rate, blood pressure, and increase bleeding. all bad at this point. Drink some water, eat a snack, and walk out. Rule number one in trauma is STAY CALM.