I called to tell them that I intended to cancel and they said "no problem, just cancel your direct debit", so I did....
Three weeks later I get a snotty letter off them telling me that I should call and setup another direct debit as my payment had failed and that I should cancel in writing if that was my intention. So I sent them a letter and they confirmed that it is now cancelled.
Maybe they are getting cheesed off with all the people cancelling and are trying to take a hard line on it now?