If you don't proactively cancel, the system is supposed to automatically credit your points and money back. It doesn't always do so which means you have to contact customer service. And with Southwest's regular snafus, contacting customer service could take two weeks or more during service degradation, which means you will not have your points in the meantime.

I would cancel in advance with at least 1 hour notice. If you cut it too close, you have to call it in to cancel. The verbiage says 10 minutes prior to flight, but I would not count on that for either cash or points because of the high hassle factor to get credits back.