What is the correct procedure to deal with a TCAS RA during intercept?
The correct procedure for the interceptee would to follow the TCAS Resolution Advisory as they have generally no idea that they are being intercepted. 

The interceptor must ensure that no TCAS RA is generated by switching his transponder to the appropriate mode. This has been standard procedure since the introduction of TCAS. 

TCAS works by interrogating other aircraft's transponders. These interrogations are done in both Mode 3/A and Mode C as well as in Mode S (UF-0). To ensure that no TCAS RA is generated the interceptor's transponder must not reply to Mode C and Mode S interrogations from the interceptee. Since the source of Mode C interrogations is not encoded in the interrogation, the transponder must not reply to any of these interrogations including those from radar.

Technically a transponder could be designed to selectively not reply to Mode S interrogations from the interceptee only, however I think it is common to switch off TCAS Mode-S replies, or even switch  off Mode S entirely.