What is the right way to close apps in Android?
If you exit the app using the BACK button then it will call onDestroy() on the current Activity, If you press HOME it only calls onPause()
Don't be too worried about it though, Activities won't drain battery they are just left in memory so they can be opened faster in the future.  

I wouldn't recommend using one of those task killer apps Android is designed to keep that stuff in memory for a reason, using a task killer is only one more extra service tugging away at your battery..  What you need to watch out for is apps that run services in the background like twitter or email clients pulling their servers, any good app that has a service like that will have an option to turn it off.