Your "battle plan", in order:
1. Contact your agent. Ask for the office manager or broker's name and phone number. Thank them. Hang up.
2. Call that individual, and relay to them what's happened thus far, as above. Let them know that you'd like their prompt attention with this matter. Thank them for their time.
3. On page 10 of 10 of your contract of sale is the other agent's office phone number. Call the office, ask for the name and phone number of the office manager or broker. Ask to speak to that individual. Relay to that individual that you have an executed (presuming it is, signed by yourselves, and by the seller) release of contract that stipulates that the earnest money deposit (assuming that this is what the release says) is to be released back to you, and that it's been an unacceptably long wait to receive that check. You may be told by their broker that the check is coming from out of state, etc., and that it might take some time. Let them know that their attention in this matter is appreciated, and that you'd like to be contacted when there is confirmation that the check has been sent, either from their office, or from their corporate office, which they should comply with.
That, ordinarily, is all you'll need to do. If that doesn't resolve the problem satisfactorily, additional action may be necessary, but in most cases, that's all you'll need to do. Do make sure your release specifies that the deposit is to be released back to you. Do make sure that the release say how and where the money is to come back to you. If there is no address listed, when the check comes back from the listing broker, they might not know where to send it, in which case it can end up on an administrative assistant's desk.
Should all this fail, there are a few other simple steps you can take. If it comes to it, contact me, I'm happy to offer assistance.