You can't do an export through a shell script, because a shell script runs in a child shell process, and only children of the child shell would inherit the export.
The reason for using source is to have the current shell execute the commands
It's very common to place export commands in a file such as .bashrc which a bash will source on startup (or similar files for other shells)
Another idea is that you could create a shell script which generates an export command as it's output:
shell$ cat > script.sh
#!/bin/sh
echo export foo=bar
^D
chmod u+x script.sh
And then have the current shell execute that output
shell$ `./script.sh`
shell$ echo $foo
bar
shell$ /bin/sh
$ echo $foo
bar
(note above that the invocation of the script is surrounded by backticks, to cause the shell to execute the output of the script)