Squawk 0030 (LOST) would help as it flashes up on the radar screen and draws attention to the intruder, so avoiding action can be taken if necessary. Otherwise, yes turn around and get the heck out quick, and of course you can always leave controlled airspace by descent (though not in a control zone!) Well, that would be a dramatic way to leave CAS
If you do squawk 0030 you may get a rollicking when followed back to your home airfield but at least you may have saved your skin and someone elses.
Anyway, you learn from your mistakes. Safe flying!