PuTTY quit command
Or you could use exec to replace your shell process with ssh when jumping to another host:
SSH to host1 with PuTTY... banjer@host1:~> #...doin some work...ooh! need to go check something on host8... banjer@host1:~> exec ssh host8 banjer@host8:~> #...doin some work...OK time for lunch. lets close putty... banjer@host8:~> exit Putty closes. 5 levels deep is not pretty, since the traffic will pass through all the other servers. Because of that I don't recommend just killing PuTTY or ssh (~.), since (depending on what you do) this could result in orphaned processes on the servers.
Better to try and be less "lazy". Right-click on puttys title bar makes opening a new session quick. If you have a "default" server and accept 1 jump from that, the "Duplicate Session" feature is very useful. Especially when using pubkey authentication.