To turn off the confirmation dialog that pops up every time you quit X11 in Leopard, enter the following in the Terminal:

defaults write org.x.x11 no_quit_alert true

If X11 is running, you will need to quit and restart for the change to take effect. You can change back to the default behavior simply by replacing true with false in the above Terminal command.

Note that this is the same solution as this older hint, except that the name of the preferences file has changed (it used to be com.apple.X11).