If using 2.2 OS, you just need to hold down back button and press home button. If 2.1 OS, you will need to root your phone and install screen capture app (e.g. drocap2, shootme).

Sometimes some apps continue to drain battery after you exit due to malfunction or some other reasons.. Normally if I detect abnormal battery drain, I will do the following:

1) Restart or;
2) Go to task manager, clear level 1 RAM (You can clear level 2 if you like).

See if the above works for you or not..

if u only read a few post ago u'd find it...

anyway, press and hold the back button n press home. u should here a click.
look for in in ur int sd card>screencapture

You can try and see. It will just kill all running apps..