It is more likely (but not always the case) to have to go down on the mainjet after adding an aftermarket exhaust due to the increased flow causing the engine to run rich. The KDX line has always come jetted very rich from the factory anyway.
To rejet, you first need to make sure everything is in good shape. The top-end should be fresh, the silencer should have fresh packing in it, the reeds should not be frayed or cracked and should seal flat against the cage, all the jets and passages in the carb should be clean, the air filter should be clean, and use a new plug (actually you will need several plugs
;) ).
Start with the pilot circuit. Get the bike up to full operating temperature. Turn the airscrew in until the engine starts to die, then slowly open it until you find the point where the engine is at the highest idle. If you are less than 1 turn out, the pilot jet is too small (not likely the case on a KDX), if you are more than 2.5 turns out the pilot is too big. Once you have the correct pilot jet, you adjust the airscrew in and out a small amount to find the setting that gives the best throttle response (my bike is sensitive to 1/8 turn adjustments).
The next jet is the needle. This affects the jetting from about 1/8 throttle to about 3/4 open. This one you have to do by feel. Find the clip position that gives you the best power and response.
The final jet is the mainjet. Make sure the engine is warm, and put a fresh plug in. Run the bike through the gears with the throttle wide open. When you top out in top gear, chop the throttle and hit the kill-switch at the same time and coast to a stop with the clutch pulled in. Take the plug out and look at the insulator down inside the threads. It should be a light tan if the main jet is right. If it is dark and/or wet, the main is too large.
I also like to run 32:1 oil ratio, but that is another story. Whatever ratio you use, settle on one before you start to rejet, and stick with it. I would also recomend either modifying the airbox lid for more flow, or tossing it completely before you rejet.
Hope this helps.:)