You'll always have to wait but certainly choosing the option to cancel will make them keep you hanging on even longer! I found the quickest way to actually get to speak to someone (and this works with any company not just Sky) is to choose the option for paying a bill. If they think they're getting money out of you they answer the phone quicker! You then have to get them to transfer you to the right department. Still takes a while but usually quicker.
Emailing and saying you want to cancel is never likely to get a response, they don't let you get away that easily!!