I feel like blocking would be a very good thing you should do when you aren't sure what to do. Overall vs Bang, you essentially have to react to what he doing in neutral since he is a really mobile character with good (but limited) tools in the form of his nails. You just need to pay attention to his D nails in particular and pay attention to your spacing so you know how to avoid them and not get hit by them or forced to block them. His A nail approach is also something else to worry about with respect to trying to AA him but it is already hard enough to AA Bang anyway so you might just want to run under him to avoid the situation all together.
If you have more in-depth questions about what to do against Bang specifically, it is probably better to ask in the Bang thread from this point on since it is no longer critiquing your own play.