Where do I specify my exit-click URLs?

Within your creation you should not specify the exit click unless it's a dynamic URL. Retrieving an exit-click URL with the use of the (well known) clickTag variable is not necessary when working with our platform.

In your HTML you simply need to use screenad.click(); without mentioning any URLs at all. More information on this, and about custom clicks, at the following article: Using Screenad Clicks

The place to specify your exit-click URLs is the Previewer in this step specifically: Setting the Clicks