What is the right action to take upon closing windows in java/swing?

I just wrote this test code in my CustomUIPanel class:

public static void main(String[] args) {
    final JDialog dialog = CustomUIPanel.createDialog(null, 
       CustomUIPanel.selectFile());
    dialog.addWindowListener(new WindowAdapter() {
        @Override public void windowClosing(WindowEvent e) {
            System.exit(0);
        }
    });
}

It works correctly if CustomUIPanel.main() is the program's entry point, but it makes me wonder something: what if another class called CustomUIPanel.main() for testing? Then my call to System.exit(0) is incorrect.

Is there a way to tell the Swing event dispatch thread to exit automatically if there are no top-level windows?

If not, what's the right thing for a JDialog/JFrame to do upon closing if the goal is for the program to exit when all the top level windows are closed?