Yeah, all what is posted is basically true...but very few AT&T stores have stock to handle exchanges yet. Most are still only stocking a few at random times for retail. I would sure call ahead and see if they had another phone in stock for you.
I had to exchange my original 4Gs because of outgoing call issues and random call dropping...and finally had to settle for two choices...go through the mail exchange deal with Apple, which has become a total PITA in the last couple of years ($500 deposit on your credit card...), or drive the 7-hour round trip to my "local" Apple store in St. Louis. Once I got there, I was in and out in less than an hour...but it wasn't fun.