exim_convert4r4 < /etc/exim/exim.conf > /etc/exim4/exim4.conf.new
The output file MUST be checked and tested before trying to use it on a live system. The conversion script is just an aid which does a lot of the "grunt work". It does not guarantee to produce an Exim 4 configuration that behaves exactly the same as the Exim 3 configuration it reads.
Each option change in the new file is preceded by an identifying comment. In fact, the conversion script tends to make quite a mess of your configuration, and you should expect to go through it afterwards and tidy it up by hand.
Unless you are running a very straightforward configuration, the automatic conversion is likely to generate a non-optimal configuration. You should not only check it thoroughly, but also run as many tests as you can, to ensure that it is working as you expect. In particular, you should test address routing, using -bt and -bv, and the policy controls, using -bh. If possible, you should also do some live tests (i.e. send and receive some messages) before putting Exim 4 into service.
If you have a very complicated configuration, it is possible that exim_convert4r4 will break it in some situations, which is why thorough testing is strongly recommended.