Hello there, I just got my Canadian citizenship. I want to cancel my American B2 tourist visa on my old passport. How and where do I go to do this?
Thank you!

Here is the site with the info you need. Apply for US Immigration Services: USCIS, Green Card, US Citizenship, US Visas, Forms

Why don't you want to "simply" let the visa expire?

No need to cancel, just don't use it. To cancel it at the US consulate is unusual and would be seen as suspicious.