Yes, you need to file a new W-4 form as soon as possible. Follow this link for the IRS W-4 estimator. It will create a new W-4 form for you to give your employer.
Losing your dependents is a big adjustment, but in the long run, you should have more money for your own needs.
Please don't be fearful, the IRS doesn't throw people in jail just for being a bit behind. The important part is that you are making an effort to pay your taxes.
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