Thanks for the answer Cliff. For me the most scary thing is that the pop can go to FOH. I can turn of my stage monitor first, but i'm not sure if the soundguy has muted my channel already. And sometimes he's far away or gone somewhere. Most of the time it turns out ok, but it happened a couple of times, when everyone turns to me after a loud pop...
I would suggest, then, if you are concerned about this, that you provide your own mechanism for silently disconnecting from the FOH. This could be as simple as using a direct box (1/4" out from AFX to IN of DI, and unplugging the 1/4" connector FIRST from the Direct Box before AFX) or an XLR switching adapter which would allow you to literally switch off the connection to the AFX before unplugging it.
however...(and there have been other threads that address this issue)
There should be an implied (if not discussed or documented) responsibility between the stage musician or roadie who is setting up/breaking down equipment and the person responsible for venue/headline act supplied PA system. That responsibility consists of communicating any and all actions which may have ANY impact on the proper operation and care of the PA system itself, as well as people on the stage and in the audience whose hearing may be harmed by any type of audio mis-hap.
The point: you need to communicate with the FOH sound guy and vice-versa. IF YOU ARE NOT 100% SURE THAT THE FOH CHANNELS AND MONITORS HAVE BEEN MUTED, YOU ARE RESPONSIBLE FOR ANY POPS THAT MIGHT HAPPEN FROM SHUTTING OFF YOUR GEAR. It is as simple as mentioning to the sound tech: "I'm going direct and my gear doesn't have silent shut-off. I don't want to POP your equipment so please let me know when my channel is muted so I can pack my stuff up quickly and get out of your way." This way, the sound tech can't complain if you are standing around like an idiot, not moving your gear, in which case you can remind him of your 5 second conversation before your set. Trust me, he'll appreciate and comply with your request...or he/she is a dope/moron/idiot who doesn't give a rat's ass.
As a gigging musician, you should be mindful enough of the fact that the PA system is probably worth many times what your entire guitar rig is worth (or at least of the fact that YOU don't own the PA system), and act accordingly.
At the same time, any sound tech who doesn't take care of business and immediately mute all channels as soon as the last note of a set is hit...well, you get what you get. This is a shared responsiblity IMO.