Oliver,
The simplest way to alter the output from the Sales Order Export form is to use a custom stored procedure. By default the Sales Order Export uses a stored procedure named usp_JIWA_SalesOrders_Export. You should copy that stored procedure and name it appropriately, and then change the system setting "StoredProcForSalesOrderExport" under the invoicing section of System Configuration to be your newly created stored procedure.
The Sales Order Export will call that stored procedure and every row returned will be a row of the output CSV file, in the order the stored procedure returns columns. If you want to add a header row (the Sales Order Export does not do this), then the attached plugin will do that for you.
This plugin will look at the column names that the stored procedure outputs, and adds a row to the file when created with the column names separated by a comma. Make sure your stored procedure explicitly names the columns for this to work.
Mike