I lost mine Thursday and I'm 38 weeks. I haven't called or done anything. My mother in law is a L&D nurse. She said it's no big deal but baby will probably be here within the next week.
You can lose your mucus plug weeks, days, or hours before you actually go into labor. If you aren't having any contractions and if your water hasn't broken then you don't need to go in or call labor and delivery. However, if you feel like you need to call, go ahead momma. Do what makes you feel comfortable :)