Report it immediately to any Sam's Club or call the 800 member number.
Bring an ID if you need to shop immediately. You will be allowed in and assisted at check out.
Both of these answers are good. Report it either by calling or visiting your local Sam's club. Let them know what's going on and I'm sure they will give you a new card and cancel the number on the old one so that whomever has it they won't be able to use it.
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