Many custom ROMs allow you to customise the buttons, but that does require rooting the phone. "Long press on back button to kill current app" is a common customisation in my experience.
However, are you sure you need to shut down the app? In most cases just moving on to something else is fine: the app will be kept suspended in RAM, using no power, until you either return to it (in which case you don't waste power reloading it) or the RAM is needed for something else (in which case the app will be closed completely to make space). There are badly written apps which won't behave properly, but in most cases there is no actual advantage in shutting the app down, and some disadvantages.
I do have a shortcut to kill apps (long press on back button), but rarely use it as there's generally no need.