SOP in the R22 for a gearbox / chip warning light is an immediate forced landing under power if accompanied by noice/vibration, otherwise "land as soon as practicable" which I will interpret here as the same thing.
Personally, I'd make at least a PAN, perhaps a MAYDAY, to anyone who I was talking to - better to let someone know I'm having a potentially lethal problem - if you screw up people know you're in trouble, and if the worst comes to the worst then the accident investigators have a starting point !