Merely walking from the circle would break it, and dissipate all the energy that has been gathered thus far, as well as the energies of the circle itself. Certainly spoiling any working you were doing. So a method of creating a 'doorway' is needed for those times when it is an absolute necessity.
Here is one such method that works with the circle casting I usually use.
Stand at the edge of the circle, where you wish the doorway to be (some traditions believe that a doorway should only be created in the northwest, but I find this a little absurd when I have a circle in a small room).
Visualize the energies iof the circle
Holding your athame pointed downward at the spot where the circle meets the floor/ground, visualize it drawing energy from the circle into itself.
Moving your athame widdershins (counter-clockwise), bring it slowly up and then down again in an arc, creating a doorway just wide enough to walk through.
Before leaving the circle, excuse yourself from any entities present, at the very least the Lord and Lady and elemental spirits. They are guests and deserve to be treated respectfully.
Once you exit the circle it is recommended that you temporarily seal the circle by drawing an invoking pentagram in the doorway with the index finger of your projecting hand. (An invoking pentagram is drawn starting at the top, in a widdershins direction)
When you return inside the circle, point your athame at the ground where you created your door. Reversing the direction you 'cut' before, send the energy from the athame back into the breach in the circle to seal it.