More than likely you'll have to mail it back. That's usually the process for online orders. Especially for this release, I highly doubt if anyone is going to be able to swap anything in store this weekend. Also with the waiting period, you might as well just stick with it unless you won't mind using another device for a couple weeks.
Just putting it out there, but if you're wanting to swap because of the "scratch" issue from one of the review blogs, why not give the black one a shot and actually see if it's a legitimate problem or isolated to a highly circulated tester unit? If there is truly a problem with the frame piece and scratching, i can almost guarantee Apple would swap it out with no questions asked.
I still think this whole scratch thing might be a bit overblown, but you never know...issues like that do happen. The black model is quite awesome looking though with that darker frame, i would have ordered it but i wanted a change of pace and haven't had a white iPhone since the 3GS.
I don't see why you couldn't swap it at an Apple store...
Apple is not going to swap because a person changed their mind about the color especially if its bought from the carrier directly. It bought from apple then yes because that's as good as a return and then buying again.