I am looking to cancel my health benefits through the company. How do I go about doing that?

Why, as they are part of your remuneration package..

Personaly, and this is just me... I'd start by talking to the human resources department of the company you work for.

Why would you ask us instead of your employee benefits or HR department. You can certainly opt out of your company plan if you have coverage elsewhere. But in the US, you need to have some coverage.

First, if this is part of a pre tax program, you may not be able to cancel it, until a specific time of year.

Without knowing.
1. what country this is.
2. type of plan
3. type of contract

We can only guess. You need to contact the HR department of your company.