I think you should go because you will regret it if you don't. It's always best to have closure when you end therapy. It may be difficult, but leaving people is part of life and you can't always walk away from it. Your final session will be a chance to discuss how far you've come, what your T thinks you still need to work on, and anything else you may want to ask or say to him. I forgot: are you quitting therapy altogether, or are you going to see someone else?

If you make a mistake or forget to say something, THEN you have the option to write him about it. I wish you good luck with your session.