Your Wave 1 will automatically turn itself off when a warming or cooling session ends.
If you're trying to turn your device off while a warming/cooling session is in progress, first get your Wave 1 back into standby mode (red and blue lights) by pressing the center of the light bar. Then turn it off by pressing the center of the light bar briefly, until it clicks and the lights go out.
If you're having trouble pressing down on the center of the light bar evenly (and are accidentally activating warming or cooling in the process), try using your thumbs to press both sides of the light bar at the same time, just until you hear it click.