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Intuitively, this makes sense and doesn't clearly violate any of the well-known "don't do it" rules. However, I'd like to hear other opinions.
If your sites are A and B, and external site C links to A and external site D links to B, then:
C -> A
D -> B
If you therefore make a link from A -> D, and a link from B -> C, you end up with:
A -> D
D -> B
B -> C
C -> A
which is just third order cross linking. If you repeat this with sites C' and D', C'' and D'', and so on, you'll create a pattern which is not particularly hard to spot.
I agree, this sounds dangerous!