The first thing they would have done was trying to grant their immidiate survival. Tending wounds, finding food, water and shelter. They would avoid to return to the place of horror for a long time. They had not expected violence, but admiration - considering the time frame they were supposed to land. They were shell shocked.
The Coneheads were explorers, that's true - but more on a spiritual, observing kind. There wouldn't be many Indiana Jones and MacGyver types among them. Even when there would be some skilled ones - they had to care for others.
And you seem to forget something - they were relying on magic. They were very surprised when their magic did not / hardly function on the WoTMs. Even sending could have been impossible over longer distances.