Ben the link exchanges are for your site, not the actual affiliate link itself. So if your niche is health you would exchange links with other health sites.
Paul, I didn't mean safe as in security, I meant safe as far as Google.
READ Google's WebMaster Guidelines re Link Exchanges
"
However, some webmasters engage in link exchange schemes and build partner pages exclusively for the sake of cross-linking, disregarding the quality of the links, the sources, and the long-term impact it will have on their sites. This is in violation of Google's webmaster guidelines and can negatively impact your site's ranking in search results."
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Webmaster Help Center - Link schemes