You should cover your mouth and nose while seeking shelter, but it should not be relied on as a safety measure in place of getting to shelter immediately. Covering your mouth does not prevent exposure to chemical vapors, however it is effective for smoke and for aerosols (such as would be released in the immediate area of a biological attack).
In studies, using a dry folded handkerchief was the most effective filter for particulates or aerosols. Using wet material such as a towel or handkerchief actually reduced the effectiveness or filtering from vapors. In addition, wet materials are more difficult to breathe through. Placing a wet towel at the bottom of a door or window provides no protection against vapors entering a room.