And what is the right thing and how do I do it?
The right thing is to accept that Jesus of Nazareth, Yeshua ben Yosef, was the promised Jewish Messiah, as he said he was.
Easy? It's easy to agree with the historical and theological facts, just like it's easy to agree with the laws of gravity, or Conservative policy on education (if you're so inclined). But there's a massive leap between agreeing (or believing) something and accepting the consequences of that belief.
Just believing in Jesus and his claims is not enough, you have a decision to make, a big decision!
The whole situation is best expressed in the opening Chapter of the Gospel of John. Verse 12 states, "Yet to all who received him, to those who believed in his name, he gave the right to become children of God". This is because you don't just believe in him, you must also receive him.
So what does receiving entail? It all goes back to the unfortunate human habit of 'sinning'. As we have already seen, there was a system in place to 'apologise' to God for these sins. It was the sacrificial system and provided a way for your sins to be forgiven. This system fell into disrepute as it became just a mere ritual in people's hearts. Then Jesus came along and instituted, by his death and resurrection, a new covenant.
He became the sacrifice for our sins, a single sacrifice, in that it occured just once in history, for every sin committed by the heart of man. This doesn't mean that, as his sacrifice provides you with forgiveness for your sins, then you can go on sinning freely without fear of consequence or the inconvenience of having to change your ways.
No, no, no! There needs to be not just a change in your attitude, but a total change in your heart. There's work needed to be done. Jesus has done his bit, the hardest bit. Your bit is far easier. All you need is a practical faith and this is where receiving comes into the equation.
You have to say something like the following (and mean it!):
'Yes, Jesus (or Yeshua, his real name), I believe that you did die for my sins, so that I can be forgiven them and get right with God. I realize that, at present, I am living my life outside of God's purpose. I admit I've made a mess of it and need a fresh start. Give me this new start and I will live my life with you as my personal Messiah and Lord'.
You can say this because Jesus is still alive. He is sitting at the right hand of God the Father, in heaven. He is watching you. He is waiting for you.