First is to stop the bleeding. Most of our have recovered with no problem, so keep an eye out for infection or swelling which equals a trip to the vet.
Cornstarch on a Q-tip with pressure is a good home remedy for stopping bleeding from nails, if you don't have quick clot readily available. (I imagine your bun's has already stopped, but I thought I'd add this in case somebody else runs across this thread while needing an answer).