One thing to remember is that the withholding amounts were decreased recently without decreasing the tax rates. The idea is to get small amounts of money into everyone's hands and they don't recognize the increase and will spend more. This is supposed to give the economy a boost.
Just remember that if you get a refund, you have loaned the government that money interest free. If you have to pay when you file, the money has been an interest free loan to you. This is not the reality, but it gets the idea across.
If you are willing to accept the smaller tax refund, then do nothing. (bad idea)
Better is to take the increased funds in your paycheck and put it into something that gives you interest. You are already accustomed to getting a certain amount in your paycheck and the increase will not be missed if you put it into savings. If it is a good amount of money, the interest may prove to be well worth the effort of setting up an automatic transfer to your savings or money market account.