Early miscarriage, go to doctor?

I need some advice and support. I'm having a very early miscarriage right now. The pregnancy wasn't even confirmed by my doctor yet. I couldn't have been more than 4 or 5 weeks pregnant.
What do I do now? Do I need to go to the doctor? Can I just let my body do what it does and avoid the doctor altogether?
I'm bleeding a lot, I'm bleeding completely through a long, night-time pad every 1-2 hours. The cramping is not bad, just so much blood and so many emotions. 
How do I cope with this? I did not want to be pregnant, but this is hard.