I have walked out once or twice (I only clearly remember one time, but I have ECT-induced amnesia and I THINK I did it another time but I'm not sure), sat outside the room for a few minutes, then returned. However this weren't therapy sessions, but evaluation meetings.
Sometimes if I'm really upset I move and go sit on the floor, though. And a few times during EMDR I've physically turned away from the T (basically turned around in my chair) when it got too upsetting.