I did only one link exchange in my online career, still I'm quite satisfied with number of visitors on my site. So, you can be successful even without it. Make quality content of any kind (software, articles, ebooks etc), include your links in it, give it away to other sites (I'mean in some form of lite versions, while full versions will stay on your site), and visitors will come.
lnk exchange is a option where u get links from sites which doesnt allow free listing..it is not compulsory to have but good to go with that as it can provide a quality backlinks