Here is an example of a portion of an exim filter. It takes any message tagged as spam and stores it in a mail folder. This is a good approach because no mail is lost, and no innocent person receives bounce messages as a result of their address being forged.
(exim 4) For details on what a filter file is and where it goes see section 21.10 of spec.txt[1] (specifically the 'allow_filter' option) and section 5 of filter.txt[2].
(exim 3) For details on what a filter file is and where it goes see sections 24.7 (specifically the 'filter' option) and 50.3 of spec.txt[3] and section 5 of filter.txt[4].
if
$h_X-Spam-Status: contains "Yes"
or
"${if def:h_X-Spam-Flag {def}{undef}}" is "def"
then
logwrite " => junk : SPAM"
save $home/Mail/junk/spam/
finish
endif