Link exchanges work fine if you use editorial discretion regarding who you link to and if you get links from sites worth having links from. It shouldn’t be your only linkbuilding strategy though. People who say link exchanges don’t work aren’t very good at doing link exchanges.
There are many ways to create links. when I set my mind I can create links exchange in a rate of 100 an hour. no all great quality but you make alot. Post in the forums, where you can, write articles, PR… so many ways to make links. And yes! it works!
I don’t think direct straight up link exchanges (link swapping) work very well. Try to get solid one way links coming in to your site with your targeted keyword phrases as the anchor text. You may try three way link exchanges, but I’d concentrate on quality incoming links from other websites with your theme.