Although you shouldn't have done that, it won't be a big deal, ESPECIALLY if you start having 'extra' taxes withheld now.
Give your employer a new W-4, and fill it out with the intention of having plenty of taxes taken out. Filling out "Single" with "0" allowances takes out the most taxes. You can even enter an 'extra' dollar amount to be taken out each paycheck.
By December 31st, if you have had enough taxes taken out that you will receive a refund when you file your taxes, you have absolutely nothing to worry about.
