I wouldn't worry about canceling it. Just go pick it up at the store because it might be safer. Unless you're going to be home waiting for it, I wouldn't risk having the FedEx truck leave it on your doorstep because it just might get stolen by thieves that followed the FedEx trucks around picking up iPhones.
Besides, isn't picking the phone up at the store more fun than sitting At home by yourself? You get the engage in all of the excitement and hype from other customers which I find gratifying especially in the Apple Store.