You should always put a break statement at the end of a default branch. The default case is put at the end as a convention but no one (certainly not the C standard) prevents you from adding a new case after, which will be promptly executed even though probably it's what you want. I think this is mentioned a best practice in the K&R.
smart-ass comment: you should put two breaks in for when some programmer removes one of them six months from now. ;)
edit: i know it's not totally analogous since removing the exit and not noticing there's no break is a lot more likely than just randomly removing a break, but the "let's prevent someone clumsy from screwing this code up in the future" argument always makes me laugh a little.