CPR HELI CREW LEFT TWR COM WITHOUT A HDOF TO N90 IN NYC CLASS B AIRSPACE.

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PF GOT VFR CLRNC TO DEPART TEB ARPT ON THE ECHO RTE CLB TO 2000 FT FOR HDOF TO DEP. WE DEPARTED TEB ARPT OUTBOUND VIA ECHO RTE; WX WAS 2200 FT SCATTERED; AND 4 MI IN HAZE. THERE WAS A FOG BANK ALONG THE HUDSON RIVER GOING UP TO ABOUT 2000 FT. WE HAD JUST LANDED AT XA05 FLYING ABOVE THE FOG FROM THE E. I WAS CONCERNED WITH THE WX AND WANTED TO BE IN TOUCH WITH THE CLASS B AIRSPACE CTLR; SO I SWITCHED FREQS FROM TWR TO THE CLASS B AIRSPACE CTLR PRIOR TO BEING RELEASED BY TEB TWR AS WE APCHED THE CLASS B AIRSPACE. AFTER CONTACTING APCH; I RADIOED BACK TO TEB TWR TO INFORM THEM THAT I HAD LEFT THEIR FREQ TO CONTACT APCH. TWR REQUESTED A PHONE CALL UPON OUR LNDG. I SHOULD HAVE MAINTAINED CONTACT WITH TEB TWR AND USED THE SECOND RADIO TO CONTACT APCH; OR REQUESTED A XFER FROM TEB TWR. I CALLED THE TWR UPON LNDG AND THEY EXPLAINED THAT I HAD CONFUSED THEIR HDOF PROC BECAUSE WHEN I CONTACTED APCH THEY HAD NOT YET ACCEPTED THE HDOF. THEY SAID FOR ME TO BE PATIENT NEXT TIME AND WAIT FOR THE HDOF TO OCCUR. I WILL; OR I WILL USE THE OTHER RADIO TO CONTACT APCH.