What to do if I found out the preprint paper missed a citation of others' work?
Contact the journal as soon as possible with the correction, and see whether they can change it before the paper is officially published. 

When they had real (and not electronic) typesetting, you had to try to change the text as little as possible. That's still a good idea, although it's less important now.

If they can change it before it's published, that's ideal. If they can't, you can decide what steps to take after they tell you it's too late.