Extension of stay is cancelled if you leave country without reentry permit. Don't really need to go to immigration unless you need an extension of a week to leave the country as you were "supposed to" cancel extension on the same day as your last day of work. I don't know anyone who had problems by leaving without reentry permit.
WP is a little different, but will only bite you if you ever apply for a work permit in the future. When you do, they'll find in records old one wasn't cancelled. You'll be sent to police station, where minimum fine is 2000 baht, and you need to get their statement that you paid the fine, before employment department would entertain you again in issue of new work permit.
To cancel work permit, download form from labour department (it's just a table with your name, work permit number, and day of cancellation). Go to labour department with 2 copies of it, along with copies of your WP booklet (or to BOI with just that 2 forms). They'll stamp both of them, keep one, return you the other, punch holes through the booklet and return it to you. All in all 5-10 minutes + waiting for queue.