Assuming it’s a small leak, one that’s hard to smell, the first thing to do is turn off the gas to the unit. There is supposed to be a shut off valve within six feet of and in the same room as any gas appliance. Turn this off and you should be good.
Furnaces and water heaters generally have a valve on the piping beside them. Ovens and cook tops will have them in the cabinet below the units and a free standing stove will have it located behind it.
Fireplaces will have a valve in the floor or wall close by that needs a removable key or if the fireplace is a prefab it may be behind a removable panel below the fireplace.
If it a pipe leak that is not in the area where those valves will shut off the gas to the leak, there is always a valve (that you will need a wrench to turn) on the incoming pipe to the gas meter.
Older homes may still have a gas meter inside the garage or basement, more often they will be outside against the house and on a rare occasion out in the yard. You should be familiar with the location of your main disconnects.
NOTE: If you are smelling gas in the house without much sniffing, shut off your gas immediately, possibly evacuate the house and call a plumber. Your gas supplier (Vectren in our area) does NOT repair any leak at the meter or any piping in the home.