I clearly have had my head in the sand for a while, as only today I discovered that the "ban" on adding an Exit option to an application's list of menu optons has been lifted. In other words, until fairly recently, it was against User Interface guidelines to include a way to explicitly quit an application.
The thinking behind this... well... I'm not sure I want to go there. Just be happy to know that adding Exit to your application is now considerably a perfectly fine thing to do, not just during the development phase.
If you want more information on these guidelines of which I speak, you can find them on the Mobile 2 Market portal.