That's the best way, since it leaves a note on the customer's feedback page.
But you don't want to deal with someone who will not pay, so here is how you cancel their bids.
http://offer.ebay.ca/ws/eBayISAPI.dll?CancelBidShow
And on the Site Map, you can find Manage Bidders, which allows you to put these timewasters on your Blocked Bidder List.