That's what I am doing. As well as disavowing the links, I am now contacting as many sites as I can. The problem I am having is that:
1. A lot of spammy sites do not have any contact information, and no contact showing in the whois.
2. I am having to submit many of the requests via web forms so I can't actually keep evidence of what I have sent. Just keep a record which I am commenting on the disavow file.
3. Of the many requests I have made, only a handful have replied saying that the link / page has been removed.
4. The worst of it is I am seeing someone spammed hundreds of blogs with comment spam on one particular day with a link to my site. I doubt the SEO company would have done this so I believe it was the work of a competitor. MOst of the sites that the blog spam is on doesn't have a way to contact them.
5. Being affected by the unnatural links penalty I wouldnt be surprised if Penguin wasn't at play too.
6. Personally it is taking it's toll. 8 years of hard work reduced to rubble and I feel it is all futile since I cannot get most of these links removed and even if the penalty is removed I have also been reading many reports that rankings and traffic doesn't come back anyway. I don't want to give up just yet, but I wonder whether it might be time to call it a day.