Congratulations, veteranus! Well, what do you want to do? You're a Roman Citizen now. Furthermore, you've now also gained the ius conubii, the right to marry (or legalize a previous marriage with) a non-Roman partner. Your children are also Roman Citizens now (your wife not, because your relationship wasn't really legal - also, after 140 AD, your children neither, for unclear reasons). You are also now immune from many civic duties, such as municipal duties or taking over civic offices, you were also exempt from certain tolls on trade.

One thing many auxiliary veterans would do was to purchase a copy of the imperial edict that granted you citizenship. While the original was hung up on the capitol in Rome, you could purchase a bronze copy, with the seals and signatures of seven witnesses, that would serve as proof of your service and your (and possibly your families) newly gained citizenship (and the privileges that entailed), should that ever be in doubt. These were called military diploma, and they are a great source for finding out which units were stationed where, or who commanded them. Here's an example. The inside is a copy of the outside, but sealed between the two outer halves so fraud would be difficult (there would be a discrepancy between outside and inside, or the seals broken).

If you want to settle down, you'd probably either chose the area your unit is currently stationed in, or your home, which many did despite the often enormous distances of many thousand kilometers between the edges of the empire. These were the two most common options; though maybe you want to go somewhere else? Uncommon, but the (roman) world is now your Oyster. If you want to settle in Egypt, you'll have to prove your honest discharge first, but with that shiny new diploma of yours that shouldn't be a problem. Possibly, you can look forward to leasing military land under good conditions from the local authorities after your discharge, this happend for example in the German provinces. It is possible that you learned certain skills during your time in the army, learned a craft, aquired technical or maybe medical skills that you could use to start a business as a civilian. Many became traders or artisans.

There were no special colonies or grants of land or money for auxiliary veterans, though, so if you were looking forward to that, you should have checked before enlisting.