If you call out from work and get the answering machine, should you call again later on to see if you get an actual person despite the fact that you've left a message?
Yes, that would be the most responsible thing to do. You want to make sure that they know, it's also more professional to talk to an actual person and not just leave a message, it will look better on your part if you call and make sure they got the message.
I agree with mandyloo. Remember jobs are very hard to find right now.