How would you incorporate a log out confirmation screen?
Use jQuery

Pop-up

(function ($, Drupal, window, document, undefined) {

    $(document).ready(function(){
        $('a[href="/user/logout"]').click(function(e){
            if(!confirm("Are you sure you want to log out?")) { e.preventDefault(); }
        });
    });

})(jQuery, Drupal, this, this.document);


Or text replace

(function ($, Drupal, window, document, undefined) {

    $(document).ready(function(){
        $('a[href="/user/logout"]').click(function() {
            $(this).removeClass('confirm');
            $(this).text("Are you sure?");
            $(this).unbind();
            return false;
        });
    });

})(jQuery, Drupal, this, this.document);




Simple Middle Page

One very simple way to accomplish this would be to create a new page with a simple confirmation message.  

For example: Are you sure you want to &lt;a href='user/logout'&gt;log out&lt;/a&gt;?

Then link to your new page in whichever menu the log out link belongs.



Rules Link

There is a Rules Link module that can create links with JavaScript confirmations, as well as links that use confirm_form()  You could automatically attach a log out link with confirmation to the User entity.



The l() Function

You may also be able to implement the l() function to generate the link you need.

$logout_link = l("Logout", "user/logout", array( 'onclick' =&gt; 'return confirm( "Are you sure?" ); ' ) );




Form API

You could use the Form API with a custom submit handler/redirect.

$form['logout'] = array(
    '#type' =&gt; 'submit',
    '#value' =&gt; t('Logout'),
    '#attributes' =&gt; array('onclick' =&gt; 'if(!confirm("Really Logout?")){return false;}'),
);