If you are required to send it back YES, call them and WAIT on their box and pre-paid label or you will risk NOT being correctly credited for the return and will have fees & penalties added to your account. No real reason to rush doing things correctly.
I am in Canada but work in the US. Was just wondering if I could bring the box over and mail it from within the US. I could wait for the box at the address I have on file but it is just easier to return it myself without waiting for it.