If you are working full time and collecting social security at the same time, I would definitely recommend having federal taxes withheld from your SS check. This is the form that you can use to have tax withheld: http://www.irs.gov/pub/irs-pdf/fw4v.pdf
You have an option of 7%, 10%, 15% or 25%. If you can handle it, I would recommend 25% for the first year that you collect SS. Better to overestimat than owe.
I can help you estimate a tax liability if you need, but I would need more information. Let me know if you would like that.