What would you do - engine failure on climb
Carrying a sick engine is like carrying a sick co-pilot : the SOPs and common sense dealing with pilot incapacitation can be usefully transposed to this situation.
Make sure the sick engine is taken care of and does no more damage; radio ahead to let ATC know your problem; ask for vectors; aim for a long straight approach to reduce high workload; do your checklists early; make max use of any CRM available; land at the airport and runway of your choice - it's an emergency and you make command decisions.