[Exim] Mail Filter/Relay Question

I am sure that I can gleam the answer to this question from the docs,
but I am also looking for recommendations, so I am going to post it to
the list.

The company I work for uses M$ Exchange as their primary mail system.
Currently they receive large amounts of spam, and they have no spam
filter in place. Rather than purchase a decent spam filtering system
for Exchange, I suggested that we use an Exim box, armed with
SpamAssassin and RBL's to filter the mail before passing it on to the
Exchange server. My questions are:

1) I assume this is possible?
2) Is this the best/efficient/*cheapest* solution?
3) How exactly would I go about configuring my DNS and Exim to do this?

Thanks for any help!

ahp