Sweepstakes, Contests or instant winner games

If you are sure you correctly requested the free game pieces I'm surprised that you never received them. McDonald's knows fully what their obligations are, and I'm certain they took steps to ensure that free game pieces were available. McDonald's does not want to be seen as conducting an illegal lottery ( requiring purchase to enter). Perhaps there was some kind of problem at the fulfillment house, so I agree with your contacting them. If the fulfillment house fails to respond, I would immediately contact customer service at McDonald's, they should be informed of such an oversight by one of their agencies. and will probably contact their agency to investigate what happened in your instance. This may take a few days but. follow up if you don't get a response from them . If you get no satisfaction ,then the next step would be the Better Business Bureau in you area.
Finally, you could try the consumer protection unit of your state's attorney general office. They will initiate an inquiry on your behalf.