Always, always have a plan. Assuming that an IF abort is not possible due to terrain, lack of IF currency/qualification, icing etc, then your options will basically include any of the following: be slow down, go down, turn round, land. Which action or combination you choose will be dictated by experience, helicopter capabilities, role, Ops Manual limits and actual weather encountered. The best time to make the decision is before you reach your own personal limits, which you will only get to know through experience, but if you start to feel nervous then I suggest that you should take that as an indication that you've reached that limit and should make your decision.
Louis