I just read about this on The Grimsby Evening Telegraph webpage. Apparently despite local protest the place is now boarded up and the staff (120 of 'em) are jobless. The Last Bags Ball has been held (don't ask) and that seems to be it for the old place. I sympathize totally with the people here who look forward to the Annual Folk Festival. Although never a fan myself I used to know some people who played there or attended.
Personally I played (Blue eyed soul) at the Winter Gardens in September 2005 and years before that about 40 times in various line-ups.
NO chance of using the Pier, I suppose. The Festival did used to be there.
Good luck, whatever from fB. Formerly of Cleethorpes.