"A student says they were bullied at recess, as a teacher what would you do?

Follow the guidance given to me at teacher training, follow the local education authority guidelines and lastly the guidelines laid down by the school on how to deal with this situation.
There is no right answer to this as so many teachers, schools and authorities have been sued over the years for "undermining the student's (the bullies) self esteem".
Ideally the teacher should tell a senior member of staff and along with that member ask to speak with the bully privately about the incident after gaining the circumstance from the victim and establishing if there were any witnesses to corroborate. After admitting what they had done the bully should apologize to the victim and their parent should be informed.

In reality however, the bully will deny everything and the teacher will achieve nothing except exacerbating the situation for the victim.