Cliff Notes:

1. Rest
2. See an Orthopedist
3. Listen to said Orthopedist

In my experience, the first thing that should be done is to visit an orthopedist. Dislocating a shoulder generally wreaks havoc on the associated labrum. If the dislocation occurs multiple times, you can be all  but certain the labrum is damaged leading to primary instability of the joint.

The tissues of the shoulder literally deform (obviously) to allow for dislocation, this causes significant inflammation and pain in the joint. For this reason resting is the way to go immediately following the injury. Once the initial inflammation subsides, you can begin to strengthen the shoulder girdle. 

When I struggled with dislocation, my PT had me work extensively with bands. Many of the exercises performed came out of Nolan Ryan’s Pitcher’s Bible.