Sketching is the core of everything we do in SolidWorks. For this reason shaving a few seconds off this functionality can add up to quite a bit of time saved over the course of our day to day SolidWorks activity. To quickly exit a sketch just double-click out in an empty spot of the graphics area with the select tool active. In case your not familiar with the terminology the select tool is the default tool when no other commands are active (hint: Esc key). However please note that this functionality only works if you have enabled Instant3D on the Features tab of the CommandManager.
In contrast you can also quickly entering an existing sketch by double-clicking on any sketch entity from the graphics area. Again its important to note the functionality described in this article only works if you have enable Instant3D.