Yes, you can come and go. And you should wait on all W-2's, 1099's, etc. before finishing your return. The IRS won't even start processing returns until January 29.
Online TurboTax saves your info each time you change screens. So it will be saved even if you get disconnected or if you were to close the browser screen.
The following is the best way to exit, however:
To exit, in the left menu column scroll way down near the bottom and click on "Sign Out." The left menu column scrolls independently from the main screen.
When you return, sign in and on the main screen click "Take me to my return."