That's exactly what happened to me. They made me an appointment at the Apple Store to exchange my phone...
Look. I've been following all this "how many inches" the sensor is away, etc, etc. And while that may be the issue for some... I don't think it's the main issue.
My proximity sensor works. I've put it through all sorts of tests (and for the record, it's probably and inch-to-an-inch-and-a-half)... the screen TURNS OFF, just as it should.
The PROBLEM is, while the screen is off, the BUTTONS ARE STILL "PUSHABLE".
That's the problem.
Again, I'm not an engineer... but the fact that the buttons are "still pushable" when the Proximity Sensor is engaged seems like a SOFTWARE ISSUE.
I think it's kindof stupid that I have to get a new phone because of that. Because I'm one of the lucky ones that hasn't experienced the "antenna reception loss thing". And I'm kind of scared If I get a new phone, it'll have that problem.
Jeesh, etc.
But many of you are right. The fact that Apple hasn't publicly acknowledged this is really frustrating, and quite stupid business / brand -wise.