What documents do I need to cancel my ED visa in Chiang Mai?

You shouldn't have a problem canceling the current ED extension you're on with the documentation from the school. Remember if you're canceling it on the date you go to the immigration office you need to either leave the country that day OR buy a 7 day extension denied stamp to get out of thailand in a week for 1900baht.

Most people take the letter from their school to the immigration office a few weeks before the date they are stopping studying so that the office cancels their current extension AND stamps them in until the date on the termination of studying paperwork from the school. That way you have time to leave the country without being in a rush.