Luckily, we've not had to leave, but my kids know I don't give idle threats.
When DD was 4 and DS was 6, we went to Hershey Park. As I was helping DS make a decision, I turned around and DD was gone. She had decided that she wanted to go on the kiddie ride by herself. When she got off the ride, I went over and grabbed her and looked her square in the eye. I told her if she left my side for a moment again, we would pack up and leave. I told her since we drove to HP, there was nothing stopping us from leaving. My DS then walked over and said to her, "Yep, she'll do it too!"
You cannot give a threat/consequence and not carry it out. Kids will know you are bluffing and continue on.
Now, regarding melt downs. That's a whole 'nother issue. A parent needs to know when to just "cut bait" and leave.
I had an incident when DD was just 8 Months and DS was 2/12. We had been shopping for a few hours and I finally found what I needed at JC Penney. It was lunchtime and I knew I was on borrowed time with the kids. DS found a video he wanted and I said "No". That was it for him! He threw himself down on the floor and had a fit. The sales lady (and I use the term loosely) said, "You ought to just pick him up and spank him. I raised four boys and I spanked them all the time!" I just looked at her and said, "Here, please take my money and get this transaction over fast." I then picked up screaming DS and walked out of the store. Of course, as soon as we were out of there he stops. ARGH. We then got lunch and headed home for nap time. Once I was home, I called the store Manager to complain. I was so upset that she would say that to me rather than try to help me out. As I stated before, I knew that the kids were getting hungry and tired. My bad.
About three years later, I'm at JC Penney again. They were having a huge sale and I was getting all new clothes for the kids. I knew where my DD was, she was by the register looking at all the hair bands, and who do I hear yelling at her? Yep, that old lady again! I had about $200 worth of clothes in my hands and just went over, put the clothes down by the register, looked at her and said, "I'd appreciate it if you didn't speak to my children that way. Here, you can put this all back and I will never return to this store again!" (And I haven't) Oh, I did walk through once and saw she was in Furniture, where she should be anyway.
Yep, raising kids is hard, but you have to stick to your word! No matter what!
Enjoy!
Leigh