You have several options.
You can run the script from within your current shell. If you're running csh or tcsh, the syntax is source testscript.csh. If you're running sh, bash, ksh, etc., the syntax is . ./testscript.sh. Note that I've changed the file name suffix; source or . runs the commands in the named file in your current shell. If you have any shell-specific syntax, this won't work unless your interactive shell matches the one used by the script. If the script is very simple (just a sequence of simple commands), that might not matter.
You can make the script an executable program. (I'm going to repeat some of what others have already written.) Add a "shebang" as the first line. For a csh script, use #!/bin/csh -f. The -f avoids running commands in your own personal startup scripts (.cshrc et al), which saves time and makes it more likely that others will be able to use it. Or, for a sh script (recommended), used #!/bin/sh (no -f, it has a completely different meaning). In either case, run chmod +x the_script, then ./the_script.
There's a trick I often use when I want to perform some moderately complex action. Say I want to delete some, but not all, files in the current directory, but the criterion can't be expressed conveniently in a single command. I might run ls > tmp.sh, then edit tmp.h with my favorite editor (mine happens to be vim). Then I go through the list of files and delete all the ones that I want to leave alone. Once I've done that, I can replace each file name with a command to remove it; in vim, :%s/.*/rm -f &/. I add a #!/bin/sh at the top save it, chmod +x foo.sh, then ./foo.sh. (If some of the file names might have special characters, I can use :%s/.*/rm -f '&'/.)