First and foremost, as mentioned, make sure the radiator is topped off. Make sure the overflow reservoir has coolant in it.
You don't 'just' do anything. There's a bunch you can check.
What does the exhaust look like? White and smokey, smell like antifreeze?
How do the (spark) plugs look? I think if coolant is leaking into a cylinder, that plug will be squeaky clean.
Run a compression test.
Yes, check for milky oil.
Check for oil in the coolant.