Does anyone know of a plugin that I can use on my wordpress blog that will help me organize link exchange?
I don't know of any, though Links Manager is really good. I've used it many times, and it's totally automated.
You can effectively use any link exchange script, and then just link it from your sidebar. Blogs however have much more natural ways of exchanging relevant links. Find blogs in your niche that have trackback, and use a plugin such as dofollow. It is not so hard to find blogs that are "friendly" At the same time, use the dofollow plugin on your own site, and advertise the fact to encourage comments and trackbacks - everyone loves links. A blog post is likely to be permanent, and brings in real traffic to your site, and maybe also encourages further links, subscribers etc. Don't worry too much about PR leakage, this can easily be handled with tagging, categories etc, even in a fully dynamic way depending on the number of comments that have appeared on a page.