I for one am not that concerned.

From what I can tell, around 65 people per year are killed by lightning in the US. As a comparison, there were 2.4 million deaths in the US in 2007, mostly from heart disease (616k), cancer (560k), stroke (135k), accidents (123K).

As to "what to do on the plains," lighting will basically strike a random location, so if there is no shelter nearby then nothing you do will reduce the possibility of getting hit. You might want to get off the bike while the lightning is very close.

Getting hit by a car is a significantly higher risk, and one that is more actionable by the cyclist. As such, I'm not losing any sleep over lightning.