I'll tell you a short story from when I left.

When I was still in I started a study with a 50-something man and his wife, and kept doing it right up until I left. The wife wasn't really involved (she'd start off sitting down with us to study, but then got busy chasing after the kids and whatnot), but the man was coming to meetings and commenting and all that jazz.

When I decided the religion was causing more harm than good and I couldn't participate in it anymore, not even as an "in-but-inactive" person, I told him I was moving away (which I was) and handed the study over to someone else. I didn't say anything about not believing it, I didn't try to warn him about it: I just left.

A few years I moved back to my home town and I came across him in a restaurant and he invited me over for coffee. There, we chatted about work and our lives and families, and the topic of religion came up. I don't remember exactly what he asked, but I told him something along the lines of "I'm not a Witness anymore, and I'll never be one again. I'm done with religion."

And guess what? He didn't continue the study with someone else after I left. In fact, he never believed a word of what I was "teaching" him. Yes, we were spending half an hour every week going over some book with one person's poorly-thought-out interpretation of God's will, but we were also spending an hour every week just chatting about whatever over coffee. He did the study because he considered me a friend and I wanted to do it.

So here's my advice:

Who knows what any of them are thinking. If they're really interested in the religion beyond just chatting with you, they'll find a way to continue with it. Just tell them you're not going to do the Bible study anymore, and let the chips fall where they may.

Incidentally, the Mormon is probably doing the same thing you are: "studying" with you, thinking you're making progress towards Mormonism.