Alt-X is the hot key.
Closing WordSmith Tools Controller will close down all of the Tools.
If you press Alt-X, or use the System menu Close commands, you will get a chance to save any unsaved sets of data before the Tool in question closes. You will be asked to confirm closure if any window of data is still open.
If you're in a hurry, use the "no-check Exit" menu option which by-passes these checks.
By default, the last word list, concordance or key words listing that you saved or retrieved will be automatically restored on entry to WordSmith Tools. This feature can be turned off temporarily via a menu option or permanently in Documents\wsmith5\wordsmith.ini.