Can't get my contract cancelled

We have been trying for over a period of two months now to cancel our gym memberships. We are on multiply, and all the documents and agreements we have signed (both with Multiply and Virgin Active) clearly state that we need to cancel our membership with Virgin Active directly. We have had very unhelpful call centre staff and NO ONE at Virgin Active (either on the call centre's side or at our branch) can provide any form of assistance as to cancelling the membership. Can we please be properly assisted with cancelling, failure which will unfortunately result in us approaching the consumer protection ombudsman.