Submitting a formal disassociation letter and having them close your file is the better option because it puts an end to all of their nonsense for you. After all, it looks like you’ve made your choice 100%, and you don’t have anything to lose by a possible blackmail situation (lucky you!).
Think of it this way: if you decided that you didn’t want anything more to do with, say, another publishing company (yes, the WT is really just a publishing company – one that’s run as a cult), such as a published magazine or newspaper, or a CD/DVD/book-of-the-month club; or, say, an Internet service provider, cellphone wireless carrier, bank, insurance company, security home monitoring company, etc.; then you would want to send a formal letter, perhaps by registered mail, to clearly ensure that that service is to be completely terminated forthwith, wouldn’t you? (I would.) Otherwise, you could still remain subject to receiving unsolicited and unwanted communications or offers/promotions/advertising – which would only be fruitless for them and annoying for you.