You want to keep the pressure up. Don't remove the material to look at the wound. Also, try to keep the wound elevated above the heart so that gravity helps you slow the bleeding.
If you have it, apply a cold compress of some kind, Oz said. The cold will help constrict your blood vessels and slow the bleeding. Don't put ice directly on the wound, as frostbite could become a danger. To make a compress, simply wrap a hand towel around some ice.