I do not see any advantage to you if you were going to use that strategy. The end result will be the site you are exchanging links with will receive two links from you for every one that they provide. The Se's will not mind if you were use that linking method. Google and Fast will crawl and find the links anyway. I do not believe you will gain anything by linking to the links page. I have been looking for link partners to exchange multiple reciprocal links with. You would not beleive how many sites do not see the potential.
Ulrike I'm going to suggest you do a site search here at the forums, for link exchange. There are some really terrific discussions that we've had that you'll find extremely helpful in getting started. Feel free to post in any of those topics if you have specific issues.