Step 1. Do not panic. She is not going far.
Step 2. Put the package of bees into the hive. Leave the top of the hive half way open. Pick up all your tools and stuff, get those away from the hive area and walk away.
Step 3. Bee patient. Wait 30 to 40 minutes.
Step 4. Quietly go back to the hive. Scan the ground and nearby shrubs as you approach. What you are looking for is a small clump of 10 to 50 bees. She would be in there. Cage her and proceed as usual.
Step 5. If not found upon your approach, with very very minimal smoke quietly and gently look through the left open hive that the package was put in. Chances are very very high that you will see her walking about in there. If you see her walking, leave her to continue doing so. If you found her, quietly close the hive and walk away for a week.
Step 6. If not found, goto the closest nearby hive and look through it for her.
Step 7. If you still did not finder her, go back to Step 3. Have a sandwich while you wait some more. If she is not found by dusk, close the hive, but leave the lid propped up or slid off a bit.
Step 8. The following morning go back to step 4.
Step 9. If she is not found by mid morning the following day, start thinking about ordering a new queen.
Hope that helps!