Open your Duty Finder (default key U) to see the in-duty menu. There's four options, the one at the top instantly leaves the dungeon you're in. Couple things to keep in mind though. Leaving a dungeon that's in progress and not complete ("complete" is defined as the last boss being dead) will immediately apply the 30 minute Duty Finder lockout penalty, regardless of how many times you've withdrawn from popped queues that day. Also, for Palace of the Dead specifically, leaving with this method functions as if you had walked to the natural exit in that it will drop you into that small intermediary chamber. All you're doing is saving yourself the short walk from the boss arena to the natural exit.