Should I be concerned that my milk has not come in yet?

No. It will come in as long as your body has no underlying problem (very rare). Just keep feeding and you will get there.
No. Well, it depends how old your baby is. It may take about a week for your breast milk supply to fully come in. It is important if you are nursing for the baby to be on the breast about 8-12 times per 24 hrs in the first few weeks. This will help to not only increase your milk supply, but also ensure that your baby is satisfied. Regular checkups w/your doctor are good to be sure baby's weight is ok.