Exit cleanly
Locally you might want your participant to end on a thank you screen rather than being sent back to the PsychoPy Builder. Unfortunately, this desire has encouraged a bad habit of leaving the final message on screen and then pressing the escape button to exit.
While data is saved locally after escape has been pressed, until recently microphone recordings were not. My recommendation would be to have the final screen end on a key press that you have not told the participant, e.g. ‘q’.
The more serious issue has been when researchers ask their participants to press escape to end online studies. Online, data is not saved at all unless the experiment ends cleanly. There is an option to save incomplete results, but it does not always work and could be costly if you are paying for credits instead of being covered by a licence.