We sincerely hope that using the KDE gives you so much fun and pleasure that you never want to log out, but if you do, this is very easy. Simply hit the small X-like button on the panel, just above the padlock button. When you log out, KDE saves the positions and sizes of all application windows that are currently on screen so that it can open them for you when you log back in. But although KDE can restore the size and position of every application, it might not be able to restore additional information such as which file are opened within the application. For this, it needs some help from the application. A number of KDE applications support session management currently, and most of them will when KDE is officially released. In the meantime, KDE warns you about all the applications which do not provide enough information to be completely restored.
To illustrate session management, open a start an instance of KEdit and open a text document in it. Now log out and back in. You will observe that KEdit will be restored to the exact same position on the screen, including the right virtual desktop and the document we left open in KEdit before we logged out is opened again automatically. KEdit will even remember whether you had unsaved changes to your document before you logged out and will save them to the file you were working on if you choose 'Save' from the 'File menu'.