It still works, but not all of the links. Make sure your links are placed on a page that is regularly getting traffic and shared online. Find bloggers who are always sending their visitors to the resource page.
If the page doesn't get any traffic then it won't have much effect. Sidebar and footer link exchanges are a waste of time, those don't have a lot of power. However link exchanges are better than nothing so if you can get it then go for it.
But at the end of the day it really depends on the niche and competition, in some niches you can rank well by using link exchanges if the competition doesn't have a lot of strong links. So check your competition and find out where they are getting their links then evaluate from there.
Hope that helps.
