Never had a windshear warning in the CRJ-200, but did have a couple of windshear cautions going into DCA and PHL on particularly breezy winter/spring days.

Had a couple of windshear cautions in the CJ2+ too, but again, no warnings...and all of them were +/-15kts.

If I ever get an honest-to-goodness warning, its escape maneuver until I see 4000fpm+ climb and let maintenance inspect the engines when we land.

As saab2000 said, carry a little extra speed and you don't have to go sawing on the power levers, making a crappy situation worse.