You can certainly make changes to exim.pl and to exim.conf to do what you want, BUT ...
Chances are that no one will see them unless the emails are plain-text; in the case of emails made up of parts (such as html emails) your additions will be in the email source code but not visible in the email.
You can safely add headers which will remain in the email headers, but they won't be seen in the email.
Doing either is well beyond the scope of these forums.
Jeff