So far, I've got most of the keys figured out, but exiting the game is one that I can't seem to find. Right now, I just hit alt+tab and then right-click DOS Box & close the window.

Is there something more graceful?

I don't have the games installed right now so I'm writing from memory.
If memory serves it's Alt + Q for MK1 and MK2. MK3 should have exit option in the main menu.