Initial response to negative behavior

I'm brand new to TSG, I've listened to the book twice, I have the choices map and the cue cards. I know I don't fully understand the process yet but I'm trying to get started, learning as I go. So my question is, today my 2 youngest ( 5 & 3) were outside running around with bats, one plastic and one metal, hitting our garage with them.

What should my first response be to them?

When I first heard them I went out on our deck and saw what they were doing. I told (yelled at) them to stop but they kept doing it and laughed. I started to walk towards them to talk to them but they ran away.

So, what do I do when something like that happens? Do I address the situation right then or later when they're not being destructive? If later, am I supposed to ignore the behavior while it's happening and just wait for my moment to connect and teach?