Hamsters are consummate exercisers, but they have a penchant for making quick getaways. The best idea is to purchase an exercise ball. If you do let a hamster loose in a room, make sure he or she is in some type of enclosure, and there are no cracks in the flooring or access to space behind the walls.
If your hamster does get lost, set its open cage on the floor; hamsters' superior sense of smell makes it easy for them to find their way back home. You could also keep an eye on your other pets' food sources -- watch for the tell-tale sign of hamster droppings.