I'll approach this as if it were real.. then you can adapt to the sim..
If you've got flight following, it's almost like an instrument flight, in that they're watching you, and expect a request before you change plans. You can monitor any channel you like, if it doesn't distract you..
In real life, you could just plain cancel flight following (they'll say "frequency changed approved, squawk VFR")... And then you could contact the tower where you want closed traffic (or just announce it on that airport's CTAF, if it's uncontrolled). You cannot