I always do, these days via online form.
It doesn't always work. Years ago I was in Poland and my ATM card was deactivated. I found out about this from a voice message they left on my home answering machine. They were concerned about some overseas withdrawals, despite my warning. I was spending the last of my cash at a little cafe phone booth trying to resolve it. It didn't work; they were going to send a new card to my home address which did me no good.