Thanks Dave for the excellent info.
I have been putting off doing this but it makes a lot of sense.
I did experiment with adding an onclick event to track clicks using some code I found at google webmaster central, but it meant that links were opened in the same window, even with target="blank" set. It's crucial that my links open in new windows. Do you think this will be an issue?
Thanks for a really clear and useful guide.
Interested in quality, relevant link exchanges and deals, especially with UK sites.