[exim] Exim filtering: add headers?

I'm probably being a bit blind, but I'd like to be able to add headers
in my Exim filter, and I can't see how to do it from the docs. With my
old procmail setup, I had lots of |formail "-IX-Foo: bar" but I don't
think I can use Exim's pipe command like this because Exim doesn't
expect anything back from the pipe.

So please could someone briefly tell me how to, or point me in the
direction of the appropriate section of the manual?

Also, I'm delivering to maildirs for reading via Dovecot; how do I mark
incoming messages as already seen (in the IMAP sense)? (I used to do
|formail "-IStatus: R" so this is a vaguely related question for me.)

Or should I be using Sieve not Exim filters to do these things?

Cheers,

John.