First off, Welcome aboard. May you find fun not only playing the game but with the interactions of our tightknit community.
As far as exiting the game, there are what are called tavern tiles.
You can find those in the Taverns. There is a Tavern just West of the Temple, next to the bank and one in each of the rooms at the Astonian Inn which is in the South-South West of town. There are also Taverns in each of the Labs.
In addition to those, there are some non-tavern tavern tiles. You can find those in the Temple. They are little box-like rooms that are just north and south of the Temple's West Entrance.
Be warned, there are aso a few Tavern tiles out there on objects that when you try to retrieve them you get exited from the game. Yes they are traps and add a level of frustratin when you find them, but be thankful they are not Deathtraps.
Use the Taverns to exit the game. If you try to exit the game any otherway you may be ravaged by a demon thet will steal items or may even kill you.