I like such variant: first we do separate alias files for every virtual domain, then 
 *: vasyapupkin@mydomain.com

realdomain_aliases:
	driver = redirect
	domains = +real_local_domains
	allow_fail
	allow_defer
	data = ${lookup{$local_part}lsearch*{VIRTDOMAINDIR/$domain/aliases}}
	user = mailnull
	group = mail
	file_transport = address_file
	pipe_transport = address_pipe
	require_files = <; VIRTDOMAINDIR/$domain/aliases

Then in a necessary aliases file simply written
*: vasyapupkin@mydomain.com
And all mail, going to this domain, will be folded in the box of vasyapupkin

http://exim.org.ua 

second method 

As in exim for every virtual domain to do the aliasy

Example (did just): I write in konfige in directors lines:

domains_aliases:
  driver = aliasfile
  file = /usr/exim/etc/${domain}-aliases
  search_type = lsearch

after it aliasy is for the domain of aa.ru are in /usr/exim/etc/aa.
ru-aliases, for bb.ru -- in /usr/exim/etc/bb.ru-aliases.