Actually kurtf5, it is the exhaust that creates the majority of muck and gunk on a R/C car. As robmob mentions, the exhaust emits oil and unburnt fuel which acts like glue to dirt, so instead of falling off the body, it sticks to it. Sure, tires do kick up dirt and the like, but it sticks because of the exhaust.
As for mud guards, you can make them out of scrap Lexan. I've done it for my Revo, but they didn't last too long!
As for redirecting the exhaust, it's possible, just depends on how your mill is installed (orientation) and if there is a header pipe that'll do it. I know MIP makes some headers that curl towards the rear, but then the issue becomes one of mounting the muffler.