Is it White or yellow-green? White, it's just lymph, and there's nothing to worry about, that's normal in quite a few types of piercings. If it's yellow-green, you should do a salt-water rinse 3-5 times a day, keep it very clean, and whatever you do, don't take the jewellery out. The infection can get trapped under the skin and that makes it a whole lot worse.
Yes, you should be worried if pus is coming out of your piercing since it may become worse if not attended to. The best thing to do is to consult a doctor for help and details on what could be happening.
Ok if there is pus then it's infected despite lack of swelling or pain. I have various body piercings myself. Wash a clean the area with hot water and soap, do not use Neosporin!! The reason is once all the medicine from the Neosporin is gone all that is left is petroleum jelly and if it gets deep in the piercing it's simply a place for more bacteria to grow! My doc told me that so I would listen. After its been washed with hot water and soap use an antiseptic wipe or iodine (both of which can be bought at the pharmacy). Do that 3-4x a day until you can see your doctor. Do it even more if you are a very active person who sweats a lot like an athlete.