Inside you will find file called "Default". Adding a path to your script will do (eg. /home/user/script/cleanup.sh). Just remember that it will affect all users and a scipt will run as root.
If you want something a bit more sophisticated you can add this.
logoutscript="$HOME/script/cleanup.sh";(I've found it on some linux related forum. Cant't locate it right now)
if [ -x "$logoutscript" ] ; then
su $USER -c "$logoutscript"
It will still affect all users, but will not run as root, and only if the script file really exists.