The first thing to do when playing from the rough is to evaluate your lie carefully. Look at the nature of the vegetation around the ball. Is it soft or tough? How thick is it?
Unless there is very little vegetation or very soft vegetation, set up with your club face open. The rough tends to “grab” the hosel and close your club face. This results in the ball going left of the intended direction (for a right hander) and, because the face is delofted it goes further than intended.
Make the stroke with the ball a little back in your stance so you can hit down on the ball. It is very difficult to make a “sweeping shot” through thick vegetation. Also make sure your wrists are firmer than usual to play this shot. This will mean that even if you club face does not close the shot will come out higher than expected and usually get you out of the rough.
Play the shot from a steady stance and remain as balanced as possible. There is a tendency to slash at the ball from the rough. Don’t do that. Play a considered, planned shot and take your time.