How do I configure Exim to send messages for unknown local users to a central server?

Assuming you are using something like the default configuration, where local users are processed by the later routers, you should add the following router at the end:

unknown:
  driver = manualroute
  transport = remote_smtp
  route_list = * server.host.name
  no_verify

However, you should if possible try to verify that the user is known on the central server before accepting the message in the first place. This can be done by making use of Exim's call forward facility.