I have been to two different types of cookie exchanges. If you are going to do the one where everyone gets some of each type of cookie, then:
Definitely have everyone pre-package.
Have people bring a separate plate for sampling (and this cuts down on refreshment requirements for you!)
Have everyone bring 10 copies of their recipe, or have them bring one copy and assemble them into a cookbook to distribute later (this is more work for you)
I would look for cute paper gift bags or some other type of bag that fits your theme and send them home with that.
The other type of cookie exchange that I went to (and attend each holiday season) is one where everyone brings a copy of the recipe and a holiday or other type of dish with cookies on it. This has evolved over time away from cookies to other types of recipes as well. Everyone also brings some of their recipe to be sampled by everyone. Then we draw numbers and do the gift swap thing where each dish of cookies is chosen by someone, then can be taken two more times. Honestly, though, this type of swap became more about the dish than the cookies, and the traditional type would be fun and everyone would have a variety of desserts to take home.
They are a lot of fun!