Do I need to finish the challenge in one sitting or can I leave and come back to it later?

In short, you do not need to finish a challenge in one sitting. If you log out of the XP Cyber Range in the middle of a challenge and then later log back in, the challenge will be as you left it, assuming your reservation did not end.

When attempting a challenge, we suggest that the player attempt to do so in one sitting. Many challenges take a couple of hours to finish, so make sure to set aside some time before starting one. Otherwise, the data the curator will get might be more difficult to interpret properly. However, it is ultimately up to the curator, and players should ask their curator if they are unsure of the answer. 

Ultimately, the player only needs to complete the challenge within the assignment window. This is because once the assignment window lapses, all work a player did up to that point is automatically recorded as an attempt and sent to their curator.