Call. Urgency will depend on how far along you are. Before 34 completed weeks your doctor will want to try to stop labor or prolong pregnancy long enough to mature the babies lungs and prevent infections to give your baby the best chance.
Go to L&D at once. Go to labor and delivery at your local (or delivery) hospital for "labor check" right away. If you are correct, it can often be stopped with medications, and if not, depending on #weeks along, things can be done to prepare for premature delivery.