Speaking from experience, I would look at a lot of pictures and videos of them being happy with their group, and make sure that their music, and therefore their legacy, lives on.
Without lying I'd become depressed for an unknown amount of time trying to get over it. If I recall the experience of losing important and beloved people that would be my expected reaction. My heart would be (actually already is) incomplete...
What I have done is watch tributes made for them (tribute videos and songs), look at their older videos, and listen for their parts in songs. Obviously, I would be very sad