Send it back now and let them ship out a new one. It's really your most logical option, especailly since you spoke to them and made those arrangements already. There is a second option--- that they ship another unit immediately and charge your card for the second radio and then just credit back your card for the original when the defective radio returns, but most dealers will not be that accommodating. A third option would have been to send it back for a full refund and buy a new unit somewhere else.
The sucky thing is that you get hit with the return shipping cost. Some dealers will issue a pick-up order with UPS or Fed-Ex and absorb the cost back to them, but once again, this is rare and most dealers will not do that.
Whatever the means, please, please keep us posted on how effectively they handled the swap.