Jojo you are 100% correct. Call on the phone, tell he or she that you thank them for their help but you are going to a new pitching coach. The less details the better. Doing it right after a lesson would make me angry.
This struck me from the first, taking one more lesson in mechanics you don't believe in before pulling the plug seems like having one last date after you've decided to dump the girlfriend. Both parties participate, but with very different perspectives.