If you're on a first date with someone who is more interested in their phone than you, do you get up and leave?

I would first use humour:

"It seems you find someone else more appealing".

In case the lady continues with her phone then it's quite evident that she's not interested in me at all.

Nothing wrong with that. Everyone has a choice.

I'll simply walk away. Why to respect someone when he/she has no respect for you. Simple!🙂