Just pull the unit out of the car. There's nothing to damage and it's designed to work that way.

When the unit looses power, it quickly writes the position it is in a playlist along with a few other settings to flash. The hard disks are self parking and are mounted as read-only, so there's no data waiting to be written to the drive.

The only reason you might want to put the player to sleep before you remove it from the car is if you intend to take it indoors and hook it up, but not use it straightaway (I leave the player in the hi-fi cabinet on sleep when not in the car). This saves you from having to wait for it to startup and then put it to sleep.

--
David
// I'm probably not speaking on behalf of empeg here...