I guess you'll just have to be careful about what you decide to print before you try and print it
Though, it might be because the printer is recieving data, or in a way, it is keeping in contact with the computer, and can't cancel at that time. mine takes a while, but it does turn off.
You could actually take off the spool so it wouldn't collect in that thing in the tray, and instead would go directly to the printer to print (though this can cause a memory issue on some printers):
Simply go to Settings, Control Panel, then to Printers.
Next right click the printer you have and go to Properties.
Now go to the Advanced tab at the top and tick "Print Directly To Printer".
The good thing about doing this though is that you can just switch the printer off and it won't print again
I hope this helps