How can I have all outgoing mails with exim4 get signed by my dk-filter daemon running at localhost port 4445?
Native domain keys support is available in Exim since version 4.70. See my notes on Implementing DKIM with Exim
If you want to use a filter you may want to review the Exim Documentation for filters. It includes instructions on how to test your filters.
Add a new transport to your transport section. Connect your default outgoing mail router to use the new transport. Use the transport to pipe the mail through your daemon, then send it off to the original transport, whatever that was named (mine is remote_smtp).
Edit, better solution:
I just looked in the manual and it looks like you can add a