While I appreciate it can be frustrating when you are being taken for a ride, you can't normally just tell them to do one and terminate a contract, this can expose you to a counter claim for damages. A court will normally be more sympathetic if you have given the builder an opportunity to fix the deficiencies.
The pre-action protocol for civil procedures is worth a read. It sets out good practice for resolving disputes. Courts usually (but not always) like to see evidence that the parties attempted to resolve the dispute before going to court.
https://www.justice.gov.uk/courts/procedure-rules/civil/protocol/prot_ced
Its also good practice to minimise your exposure and get the claim in to the small/fast track process if possible - Its a hell of a lot easier as a Litigant in person preparing a case for a district or county court judge when there is an expectation that the parties will represent themselves and legal fees aren't normally recoverable (though costs are).
The high court is to be avoided at all costs. Though if the claim warrants it, it has its advantages.
I am intending to use the final payment to cover getting some windows and finishing the job. Then I will make a claim. They definitely have assets. So I will be suing them. Rogue traders eh! As for the FMB, useless. Utterly useless.
Do you mean using the money you should have paid them to finish the job, or paying them to carry on and then sue? Priority 1 is minimize your exposure. Get them to deliver as much as possible without further payments. Use the survey to come up with a defect list, issue the list and discuss what they plan to do. Avoid making further payments. If the builder is up for fixing most of the defects then your claim is substantially smaller and easier. Without knowing the details, you can't normally just cut him off because you are fed up. He has a right to remedy his defects and he's not in breach until he has either refused or is unable to remedy.
I can't stress enough that you have to put the emotion aside and work with the builder to resolve the problems. You want him to put it right, not end up in court.