This is a quick one.

The warehouse is in an underground bunker. There are four Panzerkleins in there. Any possibility I could leave with the PKs on? Leave button doesn't work underground and just says I'm missing a clue, though according to the objectives list, I'm not. Can't get the PKs up the ladders either...

Thanks for reading.

You can leave with two PK's at a time through the elevator.
Anymore than two and the computer will tell you your team is not close enough to the exit point.
So just leave with two to the top level .... get out of the PK's and then return downstairs to retrieve the other two.
The "leave" button should be green when you return downstairs .... DON'T push it and instead leave manually back up top to get all four PK's. Push the leave button and you will exit the level to the regional map.
Don't bother dragging all the ammo out except for the mortars ... your base should be able to generate ammo for any allies PK weapon.
Hope this helps.

Thanks Crunch. Btw, do they ever start "manufacturing" me my own PKs or do I have to make do with what I salvage from the enemy?

No, you only get what PK's you capture in battle.
PK's are durable as hell as only beam weapons do any significant damage to them