There's lots of different ways to leave. Plenty have chosen to run for the nearest exit. Instead, if you choose to take your time, no need to worry--it's not like armageddon is coming tomorrow.
Personally, I chose to fade. One sibling faded before me, another after me. I've posted a few threads about the psychology I used. Here's an example: http://www.jehovahs-witness.com/topic/254990/exjw-psychology-102-how-ask-question-when-questions-arent-allowed