Adding closed sites is a mild pain because as well as the custom parser, they need custom login FORM/cookie info and the gui/db stuff to manage login credentials so hydrus can log in. If there is some way to browse it without logging in, then it would be easier. As an aside, doesn't exhentai have some unusual cross-domain login, or something?
Anyway, rather than spend time hardcoding a specific solution for each site, my current plan is to improve my downloader engine to support customisable gallery add-on files that any user can create and share. Until then, please import manually or use a specific exhentai program, like >>1506 suggests. Maybe you can download in that program and then export/import from there into hydrus?