Yes. As soon as possible after an injury, you should do the RICE treatment.

R - Rest the injured limb
I - Put ice on the injury for about 15 minutes at a time. Ice helps to reduce the blood flow to the injured limb and thus reduce swelling.
C - Put an Ace bandage around the limb to give compression to the limb and further reduce the blood flow. Don't make the bandage so tight, though, that you cut off circulation.
E - Raise the limb to elevate it and further reduce the blood flow.

General recommendations are to ice the injury for the first 24 hours to redice swelling, and then to alternate ice and heat. Ice to reduce swelling and heat to promote healing.