So how do they get out of that big hole once all are down there?

Probably via the same winch system which would obviously have to stay on the surface as it lowered the last items/person down. Once they know the exact system they could probably run it automatically and remotely. They'll also have to keep a number of other items and structures up on the surface, like all the solar panels, etc.

Further to what skycat said, in 2035, the second ship, bringing 6 more crew members will arrive and will have the equipment necessary to clear the debris at the horizontal entrance to the lava tube, which will then allow them to go in and out of the underground area without having to be hoisted up vertically via the skylight. Go to makemarshome.com to see what will happen in all four phases of this mission. So far, we've only seen part of phase one. When phase two starts in 2037, 3 more ships arrive with 18 new crew members, and in 2041, 18 more crew members arrive. By 2050 there are 100 colonists living on Mars, and by 2100, there are 1,000 colonists, with 100 babies having been born there.

If the winch broke, trouble.