Should I send it back immediately, or is there anything I can do myself?
Hello !
If you just got it, I would recommend contacting the Customer Service. Usually, all printers are tested before being sold, so looks like something was broken during shipping 
If you still want to fix it yourself, I would check a few things :
- The firmware, you would have to flash it again (did you do an update when you first started the printer ?)
- The belt (does it look tightened or sloppy ?)
- If nothing worked, it would then be the strain-gauge, it tells the printer when to stop going downwards and thus not damage the printer