You cannot "exit" CHDK without rebooting the camera. I guess you mean exit the script and/or alt mode.
You cannot do this using the normal script exposure commands like set_tv96_direct.
If your camera has full manual control in the Canon firmware, and you set the "user" propcases values, then AFAIK those settings will continue to apply after the script exits. See
http://chdk.wikia.com/wiki/PropertyCaseAssuming this works, it's probably the most straightforward approach. It should be equivalent to setting the values manually in the canon UI (in theory you could do that with scripted screen presses, but it would be quite painful)
Alternative, you could probably do this by configuring CHDK overrides using set_config_value