Your Note 7 is probably fine, but be safe.
Samsung has issued a global recall for the Galaxy Note 7 after 35 reports of batteries exploding have appeared around the world. To ensure everyone's safety, a recall has been issued to replace any Note 7 models that could potentially explode in the future. It's going to be a little while before every retailer figures out how to deal with the recall, but it's clear there should be no chances taken with this. Exchange your phone when the recall details are released, and enjoy your replacement.
In the mean time, though, maybe don't use your Gear VR.
Samsung's Gear VR is a ton of fun, but it also puts more stress on a phone than just about anything else. You run the processor hard, you run the battery harder, and many folks have found charging the Note 7 in the Gear VR is easy enough that you can do so while watching a movie. Until you have a replacement Note 7, you should avoid extended trips in the Gear VR. Absolutely avoid charging your phone while it is in the Gear VR, and keep an eye over at Android Central for more details on this situation.
Once you have a new Note 7, we'll be right here ready to have fun with you again!