OMG it's a MUST. That's what I learned ... especially in retail. In my experience if you don't follow-up you don't get a call back. They get so many people applying you're easy to forget unless you stand out. I try to do it in person, call and ask if the manager is in and if he/she is then go and speak to them in person. Introduce yourself and let them know that you turned in an application/resume n you were inquiring on the status of your application. If they say something like "o we're still reviewing them" or "we'll get to it" make sure you ask when you should be expecting a call.
Make your presence known too ... like with me my interview wont be until January cuz they're waiting till after the holidays. The counter is brand new so they have to deal with holiday rush and a new opening ... I make sure to go there at least once a week and speak to everyone at the counter and the manager. Like I said, so many people apply to jobs it's easy for you to get lost in the pile.
Oh and something else I always do, after you interview come in the next day and bring a thank-you card for the manager.