If you need to step away - it is advisable to shut the course down rather than to keep it running. However, don't worry! Just close the course and the next time you open it, it will pick up right where you left off. See the example below.
Please note, there are some courses that are just video. Those courses will not save your location. They will always start back at the beginning of the video. You can pause the video if you need to step away temporarily.