Definitely if you used a debit card, since it could take a couple days to get any fraudulent charges reversed. Probably less important if you used a credit card, since you'll not have to pay for those charges and they'll just send you a new card at that point. I guess it just depends on if you want to be inconvenienced now or later :)
I personally used my credit card at one of the affected stores, and I do not plan on calling in to have my card number changed. I'll just keep a close eye on my statements (that, and I have alerts sent to my phone via SMS for any charge over $0.01, so I'd know pretty quickly)