I have a mailing list exploder on one host, and three other hosts where I want to do the actual deliveries from. How can I get Exim to split a message into groups of recipients between the three hosts?

Set up a router that routes all remote addresses to a specific transport, with a list of your three hosts. For example:

send_to_three:
  driver = manualroute
  transport = to_three_smtp
  route_list = !+local_domains  hostA:hostB:hostC

The transport looks like this:

to_three_smtp:
  driver = smtp
  hosts_randomize

By setting hosts_randomize, you request that the host list be sorted randomly each time the transport is called, in order to spread the load. The number of times the transport is called for each message depends on the setting of the global option remote_max_parallel. If it is set to 1, the transport is called only once for each message, so only one host is used, but different messages use different hosts because of the randomizing. The max_rcpt option (default 100) controls the number of addresses sent in each copy of the message - several copies are sent over the same connection if necessary. If you want individual messages to be split between the three hosts, you must set the global option remote_max_parallel to 3. This allows Exim to run 3 separate instances of the transport at once. It will pass one-third of all the addresses to each instance. Because the host list is randomized, not round-robinned, there is no guarantee that a single message will use all three hosts, but on average it should.