Rubbing vigorously the skin can help
It’s actually the opposite. Rubbing the skin can increase the release of toxins by the jellyfish cells attached to the skin, worsening the irritation.
Immersing the wound immediately in cool fresh water can reduce the pain
Fresh water (as opposed to seawater) might increase the release of toxins with worsening of symptoms. It is better to use some seawater to rinse the skin in order to remove as much of the tentacles as possible from the skin.
Baking soda helps reducing symptoms
Fact and Myth.
In-vitro testing shows that baking soda seems to work well only with some species (C. hysoscella, C. capillata, P. Physalis). If nothing else is available, three teaspoons of baking soda mixed in one teaspoon sea water can be gently applied to the affected skin. However, if your jellyfish is of a different type, this may be completely ineffective.
Household vinegar can be used to provide some relief
Fact and Myth.
Vinegar (acetic acid) works pretty well as first aid for serious jellyfish envenomation, in particular for some species like C. fleckeri (Australian box jellyfish) and life-threatening stings by Carybdea alata (Hawaiian box jellyfish). In-vitro studies have found that it blocks the release of toxins from some of this species. Although it may be useful also in other species, it does not treat already established envenomation effects and the pain relief it provides is certainly inferior to the one associated with other methods.
Peeing on the jellyfish sting helps with the pain
Myth. False and dangerous.
In spite of what we learned in Friends, where Monica is stung by a jellyfish and Joey helps her with urine, this remedy has no scientific grounds. In-vitro studies show that human urine actually triggers the release of toxins by several jellyfish species and may also increase the pain.
A hot bath is the most effective measure in treating a jellyfish sting
After tentacle removal, the very first next step is hot water immersion. The water temperature should be around 40 to 45°C (104 to 113°F) applied either by immersion of the affected area or by hot shower for approximately 20 minutes. The rule of thumb is to use the hottest water tolerated on a non-stinged area. The jellyfish venom is a protein and heat alters the protein structure. This reduces the pain better than any other first aid measure.