Yeah.. A bit late coming to this - I've only wanted to leave one dojo because I wasn't keen on the sensei - all the other dojo I've left have been because my employment has me shifting around a lot.
If you haven't already done this, My recommendation is that when you decide to have your last training session, let your dojo know this by not showing up the next time and cancelling payment of your fees if they're on automatic payment. You can then choose to let the sensei know that you've either decided to try a different dojo or that you've decided to give an other MA a try, or that time, money, interest, or whatever ran out (but that might not be honest).
Depending on where you are, and who your sensei is it may not be safe to announce at the start of your last class "I'm leaving after this training session".. It's USUALLY safe, in a civilized society, but some martial arts sensei have a warped sense of what loyalty should be and hurt people if they find out they're leaving for reasons other than "my job is moving 300 miles away"
Walter - I left. No announcement, explanation or anything. Just took my things and left, because enough is enough. probably done with aikido, only time and chance will tell. life goes on, and maybe i will find something else or another aikido school that works for me. don't know. but i do know that i've put that b.s. to rest.