I've experienced this heat wave in various degrees and in different situations (long distance cycling, shopping, trekking, etc.,) and places (Bangalore, Bombay, and Delhi).
The most effective preventive measure, in my experience, is to drink (~200ml of) mineral-filled water once every half an hour. The body's heat regulation mechanism works best when provided with sufficient amount of water. The problem only begins to manifest once the body water levels aren't good enough to dispose of heat as well as maintain blood circulation in which case the body prefers to give up heat regulation over fluid circulation.
Under normal circumstances, we are used to drinking water only when we get thirsty. Under extreme heat, however, by the time thirst signal kicks in it could be too late. I learned this the hard way during long-distance cycling. Since then I've followed cyclists' mantra of eat-before-hungry and drink-before-thirsty.
Another thing to keep in mind is to drink mineralized water (such as Gatorade, juices, tender coconut water, etc.,). When you sweat you also lose a lot of minerals so replenishing just water isn't good enough.
Most of the heat wave death in India doesn't occur in an urban setting as people have access to water within walking distance. It is the farmers who are in the most danger as a) They are directly exposed to sun b) They are engaged in strenuous physical activity. By the time they realize the danger they are in it'd be too late and they lose consciousness with no one around them to help out in vast agricultural fields.