In reply to CrankCrimp:
firstly, make a formal complaint (it doesn't have to be in writing, and make a note of time and date of call , who you were speaking to etc.
They will then try to resolve this complaint (asap). If they do not, then go to the insurance ombudsman, this is a free service.
You are entitled to a return of your deposit less the period of insurance (from when you arranged cover, to the cancellation date) unless your insurance is stupidly high, this will be a significant proportion of your deposit, but it will NOT be all of your deposit, as you were under cover for the period.
If you have provided your No claims by, yet they are claiming not to have received it, you can ask them to contact your previous insurer for these details.
Also, did you arrange cover through a broker or directly with the insurance co? if the former, it could be the brokers fault the docs haven't arrived, in which case you need to make it clear that it's their problem, not yours.