Click "Tools" and "Table browser". Group: Genes and Gene Predictions. Track: Refseq Genes. Table: Refgene. Output format: BED - browser extensible data. Give an Output File name. Click "Get Output", then select either Exons plus (and some overhang at each end), or if you want to ignore UTR and non-coding transcripts, select "Coding exons". Then Get BED.
I haven't actually tried doing this myself, but the GATK help does say that the ROD files (genelists) can be in bed format, so my suggestion might work. The following help guides may (or may not) be useful!