Exchanging links is just as effective as it's ever been.
Which is to say that trading links with low-quality, low-traffic pages isn't going to do much for you, while a link exchange with a useful, high-quality site that already attracts visitors who are members of your target market can bring great benefit both in terms of improved search rankings and in terms of direct traffic.
It's not so much a matter of being "efficient," because it's not a "quantity" game. Your focus should always be on the quality of the site or page with which you're requesting a link exchange. Don't be afraid to take a bit of time researching and seeking out quality sites. You'll get much better results in the long run from a few links coming from valuable, well-regarded sites than a ton of links from low-value "knockoff," spammy or scraper sites, for instance.
So your technique is simply to find other sites (through various means) that you think would be interesting or useful to your visitors. Link to them. Find other sites you believe are visited by your target audience. Request links from them. If it turns out a site you link to is also one from which you request a link, that's fine. Nothing to get excited over, but nothing to worry about, either.
Generally speaking, you can't be hurt by links pointing to your pages (because the SEs know you can't control who links to you), but you can indeed be hurt by linking out to large numbers of low-quality or "bad neighborhood" pages. So you want to be careful about who you link to. Don't link to another site just because they ask you to -- take at least a few minutes to visit their site and check it out before you agree to link to it.
Oh, and technically a "link farm" is a scheme in which many sites participate, each one being required to link to all
the other sites participating in the program. Simply exchanging links one at a time with other good quality sites won't turn you (or them) into a link farm.