There is only one thing you want to do if you have an uncontained engine fire. You want to be on the ground watching from the outside!
How you get there is up to you but one would be advised to remain inside your own envelope, ability-wise.
At work we do a couple of by heart items if required (engine fire), find the nearest suitable airport and point the aircraft at it! Then we fly as fast as possible, though without exceeding any structural speed limits, and not so fast as to not be in a stable configuration for landing. A thought is also given to which way the wind is coming from when stopping so as to allow escape from the aircraft hindrance on account of smoke.
Smoke alerts are treated just as seriously.
Hope this doesn't sound like a sermon. Just like to help!