How do I disconnect or "eject" my Thunderbolt display when I take my MBA away from the desk?

Pretty much. You need to eject all external drives that are connected to the TB display from within OS X before you disconnect the TB display otherwise OS X will give you the "drive was not ejected properly" error.

If you just pull out the TB cable it's like disconnecting the drives USB cable direct from the Mac.

All you have to do is disconect the cable from the computer. Your MBA might blink, but it will then know it is not connected to the external monitor all on its own you do not have to 'eject' it.

Is that still true if external hard drives are connected to the Thunderbolt display? Is ejecting them before pulling the plug all I need to do?

Here you go: http://chompingatbits.com/2011/09/23/undocking-from-an-apple-thunderbolt-display /

It blinks and then a screen pops up saying I should disconnect it in a different way. Are you sure it's ok?