It really depends on the agent. The best thing to do is simply ask your agent how she would like to handle it. If the work in question is a story that has been excerpted or adapted from a forthcoming book under contract with a publisher, you definitely want to consult your agent, since it would be considered a first serial submission. With my own clients, I determine who will handle a story submission on a case-by-case basis. I mainly submit short fiction only to bigger magazines such as the Atlantic, the Paris Review, and Esquire. If the piece isn’t appropriate for these publications, or if none of the big magazines bite, then the author will usually submit to other places. It’s a matter of making the best use of your agent’s time, and that’s up to you and your agent to determine. Be aware that an agent’s willingness to submit short fiction depends on a variety of factors: the extent of her magazine contacts, whether she has the time or support staff to work on such submissions, and, if applicable, what’s stated in your agency-author agreement.
With the help of my agent, I published my first novel with a respectable press two years ago. I’m writing my second novel now, but I also have some short stories that I’d like to submit to literary magazines. Should I bother my agent with these submissions or just send them myself?