I know that escape scrolls allows you to go back to the tavern screen and save your progress (experience, bonuses, gold items). Is there any other way to do it without those scrolls ?
The simple answer is NO.
The only way to escape from the dungeons is to use an escape scroll.
Its been my observation that there usually is a scroll within the first three floors of any dungeon level you start at so loot every single thing till you find it.