Some apps have an "exit" option (usually found by pressing menu), while others you need to back out of (as opposed to pressing the home button). Either of these options should effectively end an app when you are done with it. Or, when the message pops up, you can put your phone to sleep for a few minutes, as Android tends to end background tasks a little quicker when the screen is turned off.
Overall, I think you need to do something about your ADD and quit jumping from thing to thing so fast 