I am not. I did it one time back in 2004-05 but didn't get much of anything from it. The thing is I don't think anyone with a busy, quality site would seriously consider a link exchange.
I used to do it back in 2006. It didn't help me much with SERPs and it was a pain to ensure that those that had exchanged links with kept their side of the bargain. In the end, my time was better spent elsewhere.
I think there are some newbies who still do it, but I think Google would bust their asses so quickly.
don't bother with it, it is out of date and google will soon put you on the naughty step, best to leave it in the past