Threatens to black list

We've been a member of dream vacations club since 2015. Upon signing we were not told that we will be paying such an exorbitant fee + levies. I had contacted them after the first debit went of to inquire and cancel but the consultant stated that this contract cannot be cancelled after the cooling off period. At that point, we had not even used the points. Nevertheless we still kept the membership and they went on to debit each month. Fast forward to 2017, my husband & i are expecting our first baby and it so happens that im unable to return to work after i deliver. Which means that we cannot afford to continue paying this fee. When i contacted the club to cancel, they had sent me an email threatening to black list us. What do we do? Where do we go from here?