Thanks to this excellent article, I was able to build Exim packages with DKIM support. This means that there is now a package called exim4-daemon-custom (version 4.69-11) in lenny-custom, which is the same as exim4-daemon-heavy from Debian, except for the DKIM support. It can be used as a drop-in replacement. The base for this package was the current version in Testing.
Exim4-daemon-custom is available for amd64 and i386 architectures.
