I had a CJO from Skywest before I chose to go elsewhere. It was still a couple months before my class date. I gave them a call and they were very nice and professional about it. Said they understood my decision and I was welcome to reapply in the future if things change. If you wait until the last minute to call off, and cause them to lose a classroom spot that could have went someone else, I would not bother trying to go back there ever.