Add BUGS.md

Instructions on how to report a bug.

Signed-off-by: Gilles Peskine <Gilles.Peskine@arm.com>
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+## Known issues
+
+Known issues in Mbed TLS are [tracked on GitHub](https://github.com/ARMmbed/mbedtls/issues).
+
+## Reporting a bug
+
+If you think you've found a bug in Mbed TLS, please follow these steps:
+
+1. Make sure you're using the latest version of a
+   [maintained branch](BRANCHES.md): `master`, `development`,
+   or a long-time support branch.
+2. Check [GitHub](https://github.com/ARMmbed/mbedtls/issues) to see if
+   your issue has already been reported. If not, …
+3. If the issue is a security risk (for example: buffer overflow,
+   data leak), please report it confidentially as described in
+   [`SECURITY.md`](SECURITY.md). If not, …
+4. Please [create an issue on on GitHub](https://github.com/ARMmbed/mbedtls/issues).
+
+Please do not use GitHub for support questions. If you want to know
+how to do something with Mbed TLS, please see [`SUPPORT.md`](SUPPORT.md) for available documentation and support channels.