No I don't, but I have before. If I wanted a link exchange it sure wouldn't be with a directory, unless it's a damn good one (like 1 in a 1000).
I go to a directory for a one-way link, not an exchange. I will pay for a link before I use a recip option.
I would if the process was made easy. At the moment when im doing 1000s of directory submissions i just cant be bothered. On top of that you might not even get accepted so you will have to keep track of all your submissions.