Yes definitely go in and cancel
Definitely go into the gym and discuss it with them. They will stop the automatic payments. If there is any issue you can always contact your bank and have them stop it on their side. Like any business transactions I recommend every one confirm the details and what they expect will happen and how long it will take, then reconfirm.
I would do it in person, at the gym. I've seen some reviews where prople have a bit of trouble cancelling the auto renewal. In the future I would recommend buying a year at a time
You may have to go to the gym to cancel. I would call them first to see if it can be done over the phone.
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