Don't just weep after you see your first three episodes, or even after you've seen all six. However many times you watch them. :D Make the Reichenbach feels and the angst be useful.
(Whatever you do, don't steal the DVDs from your library. Someone else hasn't seen them yet!)
Stimulate the world economy -- buy art and other swag. Create your own swag if nothing suits you, and sell it. Buy the eps on DVD/Bluray or separately.
Then... Watch the eps again.
Read the Sherlock candy -- which I first introduced here, along with other goodies. Explore tumblr and deviantart and blogs and fan forums... read and write and share fanfic. Create fan art; you can make your own too! Without fellow fans we'd not have all these lovely fan vids, posters, etc. Knock yourself out.
Have you looked at the Final Problem tumblr for Reichenbach? That enormous Theory Index alone is worth a lot of your time.
If you don't know where to start, try SherlockCares, as the blogroll alone will give you some help; I've always found the Baker Street Babes and Sherlockology to be very fine and most helpful... along with many other Sherlockians. There's links at that blogroll to BBC Sherlock news as well.
Turn your friends and family to Sherlock, it will keep them from killing you. Recall that our John has a long time to wait, we're lucky. He doesn't know what we know.
Watch everything you can find that Benedict and Martin and all our crew are in.
Read Arthur Conan Doyle, read other authors like Ellery Queen and Nero Wolfe. Ask friends and librarians and booksellers for recommendations! Buy books, swap them, share them.
Get into the friendly Sherlock fandom. There's all sorts of us, you know.
Try out the Sherlock RP and cosplay. That might suit you. Look on Twitter and other social networks. Try your local SF conventions.
Join or start a Sherlock fan club. Put yourself on the Believe in Sherlock map. Arrange Sherlock meetups; create Believe in Sherlock images wherever you can and leave them for other fans to discover and delight in.
"I've given you a glimpse... of what I've got going..." :)
Finally, remember that not everyone's seen all the eps. First the UK, then the USA, then Germany -- the show hasn't been released everywhere yet. It's been just over two months since Scandal came to the States.
I met some lovely UK fans who asked on 20-May-12 how America was handling Reichenbach. We're out there all over the world, we Sherlockians. Check the map if you don't believe me.
Be ready to share that shock blanket along with the quotes and hand out tissues when needed. When 2013 brings us BBC Sherlock, let's make that even bigger than 2012, shall we?
I bet we can. Let's!