I think some brokers let you 'surrender' your shares, you recieve a penny for them eg TD Waterhouse, RJT if there is any market you sell them and they only charge you the proceeds less a penny, If there is no market they issue you some sort of proof that the security is worthless
call your broker and tell him you have some stocks that costs more to sell them than they are worth, and that you would like to sell them as worthless....
He should tell you what you need to do the get that done.