The influence of a reciprocate link for a search engine even though greatly reduced, still have an effect of the search engine rankings. To be able to use this, you need to find a lot of sites not yet exchanging links, to exchange links with you. Approach the webmaster directly and request for a reciprocate link. Be sure to select good quality websites, and make sure your link will not appear on a page containing thousands of other links.
Select "Anchor Text" or "Link Text" that will help with your Search Engine Optimization Strategy.
Link Exchange is usually free, so try to keep it free. Do not pay for a link, except if you think the advantages outweigh the disadvantages. Rather buy links from a Text Link Advertising Service if you want to buy links.
Try to always place your exchanged links on less important pages. Try to stay away from your home page, and rather crease a link page. This way you can increase the Authority / "Voting Power" of your website.