Just create a regular view of the configuration that has the exploded view, then inside the drawing, select the view you just made and click the check box that says, "Show in exploded state".
Between the advice and some fiddling around I got it to work. I needed to make a new configuration and call that out in the drawing as well as the exploded state.
There's a checkbox when you select a view to show in exploded state.
PS - you don't save an exploded view. It's just added to the configuration in the assembly. Just a check box on the drawing side of it.