As far as I know, it could really be done at the border for a penalty fee (not sure even with the absence of a cancellation letter). Visa run agencies could assist and it is stamped on your passport during the crossing. That stamp is the reference used when you apply for a future extension.
Ah, OK, and that would be stamped again (the visa cancellation), right? And then, I heard visa run agencies could help for the penalty when this is done at the immigration border without the cancellation letter, right?