I flat out refuse link exchanges nowadays and recommend the same to people who ask me to swap links. It’s a dated process. Yes perhaps for a brand new site a few link exchanges with theme-related sites will get you going, but I believe it’s a waste of energy. Spend your time forming relationships and writing content instead.
To increase PR, Link exchange is one of the best techniques but link exchange should be done only by finding of relevant sites and with with the websites with higher PR than yours.