Personally, I would if time permits; ie: will your new job 'wait' for you if Swift decides to run you for 3 more weeks before they route you home? Do you have home-time accrued, to some degree? There's so many parameters. Are you thinking of just dead-heading back to the terminal?
That is really sad then. If guys feel like that trying to leave, I can't imagine what it's like trying to remain motivated enough to stay.
http://www.thetruckersreport.com/truckingindustryforum/threads/best-way-to-quit.312064/ Here's some more responses to your situation, in a former thread. ^^^
I gave two weeks notice at Swift. no drama to it, worked my last two weeks and took a load to my home terminal. Turned the truck in and that's that.