I always left my pups in their crates when away from home to go to work or whatnot. I did not feel comfortable to leave them in an ex pen either. I also leave soft music on (it's an anti anxiety CD for dogs actually).... I put the CD on and wait a few mins until they start napping and then I just leave. I never made a big production out of coming or going so they adapted very quickly.
Good luck!!
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