A few teachers still tell their students that an English sentence must never end with a preposition, but this belief is dying out. The rule suddenly appeared in the 18th century for no real reason except that John Dryden said it was a rule. He was most probably wrong.
On my website I discuss this rule in more detail. If you prefer, of course, you can avoid prepositions at the end of sentences, but be aware that this might sometimes make your English sound unnatural.
"How big that is!" -- well, that's grammatically correct. As it's a statement (actually an interjection) and not a question, this is the normal word order: interrogative ("how big"), then subject ("that"), then verb ("is"). However, to me personally, it doesn't sound quite right; I think if we ever use that construction (it seems a little old-fashioned to me), we would normally say "How big it is!" Nowadays, I think people are more likely to say, "That's just so big!" or something similar.
This is really a question of idiom and style rather than grammar.