Well, I am sure there are other methods out there; however, when something like this happens to me, I first try to recall all the details I can from the dream. If it is a deity, ancestor, or being I know, I try to see what message they brought to me in the dream and work from there. Regardless if it was a vision, warning, or an attempt to contact, if I know them, I try to honour and thank them. However, if I don't know them, I use all information I gather from my dream(s) and try to learn more about them, if is someone that align with my craft I try find ways to honour and praise their attempt to establish contact and try find ways, that make sense to me, to establish contact, like if it is a water deity I try to seclude near a body of water and focus my intention on establish a bridge between me and the being of my dreams.
If, through my studies, I discover this being does not align with my craft, I cast a protection spell and another to banish the energy that does not belong to my craft and home. Following that, I normally do a cleanse of the home, especially of the bedroom (or where I was sleeping when I got this dream, unless I am not in my own home), and then try to establish a connection with the entities I work with and trust. At least, this is my approach, and that makes sense to me.