I'm not sure that there is enough of us to do our own exchange, we're definitely outnumbered here... plus, I think Admin might have issue with us trying to organize our own. A first step would be to pm them and let them know what you'd like to do.
I've participated in two previous gift exchanges and have never had to pay customs fees from packages coming from the states.
One thing I do like about the exchange involving
everyone is that it's fun to see what people send out - like people in the states might have different things than what we can find here. I'm always looking for new and interesting treats/toys/etc. so it's fun to see what people come up with.