Never done this before should I call ahead or just walk in?

Call first and find out exactly what you need to take with you. Social security card, proof of address, etc. If you're missing something you'll be wasting a trip.

Call

Just walk in; go in the a.m. as it takes longer to process new donors.

I would just walk in but go early in the morning couse u are gonna be there for at least 3to4 hours