The purpose is to protect the celebrants, and to concentrate the energy that they use among them (which is why the temperature normally rises. Heat is just energy, too.)

So when it's necessary to leave, you can't just walk out as if there was nothing there. I mean, you can, but those in the circle who can feel it will, and the energy surge as you break through may give them a headache, so it's considered pretty rude.

The way around this is to cut yourself a door, or gate, in the Circle, and leave through that.

Take your hand, or your athame, and trace the opening of a door, large enough for you to walk through comfortably. As you do this, visualize it - see it clearly - a door in the glowing wall of the circle. When you are finished, open it and walk through. Then, of course, close it! You do that by visualizing it closing, and either tracing it once more, and visualizing the door disappearing back into the circle, or running your hand or athame across it three times at about waist level, and visualizing it fading back into the circle. In either case, after you have done this, trace a pentagram in the air where the door was to seal it. (Remember, one point up.)

When it's time to re-enter the circle, of course, you do the entire thing again. The only difference is that that time you are outside, not inside, when you start. Otherwise the process is identical.

It doesn't take that long to do, and is well worth learning!