I wanted to ask whether it's still a good idea to have a link exchange page on the site? And if using Wordpress, is there any plugin available which can do the link exchange monitoring automatically rather than manually? Or what is the alternative way of doing this?

Thanks for the link Bobchrist, actually I have already implemented the link exchange directory here:
http://www.technize.com/link-exchange/

I just wanted to know whether there are any gains with this link directory? or will google penalize it?

Although traditional link exchange has diminished in importance, it is still relevant. Having a links page may have become a stale method but it still offers a good method for getting links. Its better to focus more on social media for back links but traditional link exchange still has some relevance.

Link building is helpful if you exchange website with high traffic generated relevant resources.

Backlinks from forums, linkexchange all have significance in its own way but have to wait to get indexed and to get the PR.
However linkbuilding is very important.