Good question to ask. Have you already paid it in full?
If they have an attempted delivery, you can call them and change the delivery.
In my area at least they have suddenly become VERY customer service oriented! The UPS place in the next town (10 minutes away) allows you to call that same day you get the notice (as long as you get the notice and call before 7pm) and come in that evening to pick it up! It's very cool.
Sure wasn't like that just a year ago; you had to get someone to call you to make such arrangements, but now it's all automatic when you call the number on the back of the slip.
But if you haven't paid and you CAN make the address change, I'd do it.