In some places, putting vinegar can make the sting worse. Make sure to try to research what type of jellyfish you think it was, and where you were at when you were stung. If you try the steps above and it feels worse or not getting better, you should go see a doctor. Some jellyfish stings are much more serious than others and may need immediate medical attention.
To my surprise, urine on the wound could make the sting worse. It can upset the stinging cells more and make more venom be released. This goes to say that the belief of urine on a jellyfish sting, can sometimes hurt you more than help you.
Websites:
"Jellyfish Stings Treatment: First Aid Information for Jellyfish Stings."WebMD. WebMD, n.d. Web. 05 May 2014. <http://www.webmd.com/first-aid/jellyfish-stings-treatment>.
"Fact or Fiction?: Urinating on a Jellyfish Sting Is an Effective Treatment."Scientific American Global RSS. N.p., n.d. Web. 05 May 2014. <http://www.scientificamerican.com/article/fact-or-fiction-urinating/>.