From the Home screen: Double-click the round Home button to bring up the list of currently running apps. If the Pandora icon still isn't showing, scroll through the list of apps with your finger until you find it. Then hold your finger on the Pandora icon until it starts shaking, and touch the red - symbol that appears. It is not necessary to fully exit the app each time, though.

You can leave Pandora paused instead. (If Pandora is in the background, re-launch Pandora, then just press the pause button and exit the app).