Directories are fine and essential. I own Hershel.org which is manually edited and every listing is manually checked for accuracy. There are a ton of spam directories just loading up content with no real features but anything, and I mean any site that has a good user interface and offers some sort of real benefit then links from those sites are fine. The thing about direct link exchanges are that the links negate one another. Think i=of link juice as plumbing, if it is just one larger recycling bin then nothing happens. But if there are steady resources flowing back to the target site, and the target site is not just recycling the wheel then you are fine.
Either create new sites yourself and create your own network or do it the ol' fashioned way: start manually contacting site owners offering yourself as a guest poster or direct link exchanges.
You review the site very carefully and decide if it is "worthy", 99.9% of the time they're not. Just ignore them and find the next site to submit to.