How where and when can/do I leave HH?

One way is to complete the Main Quest, you probably already know that. The only other is to kill Josh Grah or Daniel. You will get a marker for the map location. Retrieve the map, and you will then be free to leave. Although it will FAIL all of the uncompleted quests. Before the latest patch, this would happen if you kill either of the two followers. Now if you do, it will only fail THEIR quests.