This does not always mean tornado...And the greenish yellow colored sky associated with a tornado is generally caused by hail. Hail shafts often precede a storms core...Where most tornadoes are produced. Hence the old wives tale.
As for the yellow...See as a storm moves in front of the sun the suns rays cast through the storm and causes a reflection of colors. You happen to just be seeing yellow.
If you honestly feel you may be in danger though, maybe it would be safe to have a weather radio handy...They are great tools to keep ones self safe...Seek shelter and wait until you know weather is safe.