It is Sunnah to do that. Abu Hurayrah (may Allaah be pleased with him) reported that the Prophet (peace and blessings of Allaah be upon him) said: “When one of you joins a gathering, let him say salaam. When he wants to get up and leave, let him say salaam. The former is not more important than the latter.”
(Reported by al-Tirmidhi, who said, It is a hasan hadeeth. ).