Rapid decent is best done in a spiral to prevent from overspeeding the A/C.
Only in light piston airplanes during primary training.
I experienced an explosive depressurization the year before last, involving a windscreen failure. The left side windscreen blew out, taking some of the cockpit interior with it, as well as the top of the isntrument panel and glareshield, and as luck would have it, the checklist and emergency checklist (which was on the glareshield, at the time).
After taking immediate action to ensure crew safety, the next step was to sit on our hands and evaluate. I wasn't aware of how much more damage was done. The cockpit interior panels were fractured, and the initial appearance was that perhaps structural damage was present beyond the windscreen. We had aerodynamic buffeting and noise, because much of the glareshield was outside the airplane, still attached, and disrupting airflow. I wasn't in a big hurry to do anything until I had a better idea of what was wrong. I certainly didn't want to make changes, including airspeed changes, until I knew the effect.
Generally with a rapid depressurization, after one has put on oxygen and established communications, one's next priority is to descend. Whether one departs one's "track" or not really depends where one is, and what's available. If one is on an oceanic track, one is expected to depart the track with a 90 degree turn off course. If one is flying on a domestic leg, one might make a turn to an appropriate field, one might turn back to the departure point, or one might be best to press on ahead.
The general order of priorities is always, in order: Aviate (fly the airplane), Navigate (direct the airplane), Communicate (talk).
In the case of my depressurization, I did communicate with ATC, but not until I had addressed the problem and had an initial plan in mind. At that point, I advised ATC what I had, told ATC what I would do, and made a request to have assistance standing by when we landed.
Talking with ATC and squawking 7700 both fall under communicating; important, but not the top priority in an emergency.