If my cheek is still swollen after one week of penicillin should I be worried? Dentist is closed until monday.

Ineffective Medicine. It is also possible that the bacteria or micro-organisms causing the infection are immune to effects of the penicillin you are using. That would be the same as no medicine at all. Your question does not mention anything about a dental problem like a cavity or broken tooth. If no dental problem, it could be a clogged duct from a saliva gland, from a small stone. Antibiotics would have no effect.
What procedure? Amoxicillin is to treat soft tissue bacterial infection (swollen soft tissue). Clindamycin or tetracyclin or Doxycycline is to treat hard tissue or bone infection (root canal infection, bone infection). Amoxicillin/metronidazole bests used after thorough debridement of tissue necrosis in anug or anup (a chronic periodontal problems).