Ya, if you don't have the dot. sound, then you should start worrying cos with the sound, it is indicating that the VR mechanism inside the lens are working properly.
Another way to test is to zoom at 200mm, take a sample picture, one with the VR on and other with the VR off. You will be able to see the difference. Don't worry too much, I was also worried the fist time I use it. Trust me. :thumbsup: