Short answer: Don't.
Longer answer:
The encouraged Android way of doing things is for an app to, when you switch to another task, save its state so that it can be restored later, and then go idle. The app stays in memory so it can be resumed quickly when you return to it.
If you run out of memory the Android OS will close old tasks to make room for new ones. You can in most cases resume the closed task anyway (since its state would have been saved to internal memory) but the process will have to be restarted.
By closing a task manually you usually do not save batteries or improve performance, since the task would have been closed automatically when need be anyway. Instead it will actually take more time and drain more batteries when you return to ThinkFree later (as the process will have to be restarted from scratch).
Now in reality things become a little bit more complicated, since some apps are poorly coded and and do not leave their processes in a safe to close idle state when you navigate away from them. Additionally it seems there may be a bug in the Galaxy S firmware which causes the device to stall briefly when the OS (a system called the garbage collector) reclaims memory from closed processes.
These factors in combination may lead to people experiencing a performance improvement when closing processes, either manually or automatically using a downloaded "process killer".
However, I still advise against this approach as doing so you abandon one of the benefits of Android (letting the OS manage processes for you), and as more and more people use task killers there is less of an incentive for developers to "do things right" (if they did task killers wouldn't be needed). Additionally, bugtesting becomes more difficult and frustrating for us as developers as processes being closed willy-nilly (manually or by task killers) without regard to what state an app is in can result in highly unpredictable behavior and reports of strange "bugs" that are difficult to reproduce and fix.