I have done this in the past, by setting up a contact with the email address as it's smtp address. Then under the users account, under enxchange general there is a "Delivery Options" button, there you can put a forwarding address in. Simply select the contact which you built for this email address and apply it there. If you want you can have the email sent to both addresses still.
P.S. this also works well if you need a group of people to recieve the email will the reciepent is out. Just use a group with the contact, and who ever else needs a copy of it.