If it hasn't been packaged in the warehouse, call and cancel asap. Once the order has been shipped there's nothing you can do on their end. You can only refuse the package from FedEX (which they recommend) and then telling them that. If you received product already, call them and tell them you made a mistake. They'll issue you an RMA (usually with no restocking, depending on the item), but you pay return shipping no matter what. You can cross-ship, but all you're really doing is placing a second order (they charge you) while waiting for the refund on the product you're shipping back. Their RMA process is fast though, usually about 5 business days from when you send it (I send USPS, 2 days usually) to them and you get your refund.
Chiz