It’s important to work with a therapist you feel comfortable with and one who takes what you say seriously. If you wish to extricate yourself from therapy you can tell the therapist in person that you are leaving or leave a phone message.
From the standpoint of getting the greatest benefit from your treatment (whether or not you choose to move on to another therapist) in most cases it would be best to speak to your therapist about whatever dissatisfaction you are experiencing regarding your therapy. Your therapist should take your complaint seriously and invite you to explore the issue with her in a way that fosters awareness and personal growth. Generally we become stronger by developing the capacity to express our thoughts and feelings and to work through conflicts in our relationships. It’s common for uncomfortable issues to arise between therapist and client as they do in other important relationships, and often these issues mirror the issues you have had with significant others in your family, personal or professional worlds. In therapy you have the opportunity to explore the personal significance of the issue in the safety of the therapeutic environment and hopefully come to new understanding and new ways of being that will serve you in your relationships outside of therapy. For the client this process takes courage, the capacity to experience uncomfortable feelings and a strong desire to learn and grow. The therapist should be knowledgeable, respectful, and in service of the client’s growth and development.
From the standpoint of ethics the therapist is expected to take her clients seriously and treat them with respect. It’s ethical for a therapist to treat a client who has recently left another therapist and good practice to explore with the client what led to the termination of her/his last treatment. The client’s personal ethics come into play regarding the best way to leave relationships that are not serving her needs.