RE: Nightmare
Rack-Attack had a good point, once a deer is injured severely, it will usually lay down once it doesn't feel threatened. Having it lay down means it stays closer to the area where it was shot, which increases it's chances of being found if it expires over night.
If the shot was far back with less-than-optimal penetration, best to do some initial markings in the hit area, denote the path the deer ran, and let it be for several hours, perhaps overnight.
Bad shots happen. Learn from your experience and get back out there and hunt! Oftentimes we learn MUCH more from the mistakes, than from the victories.