What should I do if a dashboard light comes on?

It all depends on the color of the light. If the color of the light is red it means you need service immediately. If the light is associated with oil pressure or engine temperature, pull over quickly as these things can quickly ruin an engine. If the light is an alternator or battery light, the best option is to drive to your nearest technician because your car may not start again after it is shut off. An amber light, such as the check engine let, means that you need to seek service, but it can be done at your earliest convenience. So unless your engine is making noise or misfiring severely, you can wait.