If there's any possible chance that the bad guy can get away at the end of the adventure, make it so. You can always use a hook for the next adventure.

But nobody said you had to make it obvious to the players at the time.

Transcript

Luke: Woohoo! We won the adventure!
C-3PO: I can't believe Jim and Annie will be away for four years. That's like forever!
Luke: Whoa, I'll be in university then. And I still need to pick my final year subjects.
C-3PO: It's hard knowing what you want to do for the rest of your life when you're still just a kid.
Luke: Yeah, computer science, or IT, or software engineering? They're all so different.
Leia: Pete, maybe you could offer your nephew some advice.
R2-D2: What? How am I supposed to know?
GM: We should tie up some loose roleplaying ends.
Chewbacca: It was abundantly clear that we had to save the Rebellion, but one must consider the political ramifications of such a destructive act.
Leia: Yes. The entire Senate was on the Moon. The last remnants of the Old Republic have been blown away.
Leia: The future is always in motion.
R2-D2: I prefer to live presently.
Luke: And all my troubles are in the past!
{beat, showing Vader's fighter flying away}