I would personally speak to them in a nice way and ask them to keep the noise down. Calling the Police should be a very last resort as this could bring bad blood b/w you and your neighbours.
Advantages of calling the police.
The problem is rectified immediately - but it could only be for that day. They could be noisy again the next day, just to antagonise you. (Are you gonna call the police everyday?)
Disadavantages (I could do a Hub on it - Answer would be too long).
Also, if they are that noisy, leave other people to complain about it and hope it gets sorted. As Doug wrote - it could be dangerous if you call the Police.
Your call - good luck.