Link exchanges are a great way for new websites to start building backlinks, it should be noted that one-way backlinks have a much higher SEO value than link exchanges. Link exchanges should be used sparingly and more effort should be put into building one-way backlinks. 

The first step to finding a site to exchange links with is to find sites related to yours. You don’t want backlinks from sites that are not relevant to your site; they will not provide the same SEO value as a related site. The best way to start this is to search Google, Yahoo! or MSN for the keywords you’ll be trying to rank. The first 5 to 10 pages are the best sites to exchange links with. Once you’ve found some related websites you need to approach the webmaster, 9 times out of 10 you’ll find a page on their site with contact information. Some sites have automatic link exchange systems where you just fill out a form and await approval, your better off directly contacting the webmaster directly. 

When you send your link exchange request you should not just say “Hey lets exchange links”, most of the time your e-mail will just be ignored. Below are a few things to include in your link exchange request e-mail.

• Current website statistics, including traffic, pageviews, etc.
• Benefits a link exchange with your website will provide.
• Location that their link will be inserted in your web page(s).

Remember, you can also include other information that might help make the webmaster think your site is worthy of a link exchange with theirs. You have to remember you'll most likely be the one benefiting from the link exchange more so you have to make it reasonable for the webmaster to want to do the link exchange.