1. You can use Closing or Closed, most of your cleanup can be done in Closing, of course it is triggered first.
2. there are a few to use, it really depends on you want to handle this, you can use enter, keypress, or even one of the mouse events. For this one I wouldn't use the Leaving event, because the user should be aware that that textbox (the one you will hide) is no longer available as he either types or enters the txtbox he's in. I think I would use the TextChanged event.
What's best is it depends on you.