It would be better if you did this on the gateway so you can manage situations such as email loops which can occur.
However, you can do setup the forwards on the user object in AD itself and configure a auto-reply using a rule using Outlook, this will apply to every message the mailbox receive. Create a rule with no condition when doing this.
Out of office rply will only work once for a user, not for every message sent by the same user.
Sukh