You can also exchange at Guest Services in DTD. We are flying in late Sunday and the DTD location is open unitl 11:00. Thansk to some great knowledgable Diser's we are going to get our exchange done before we head to the parks the first day.
I didn't see anyone answer your original question, but yes - you can exchange them AT the Magic Kingdom if you'd like. Guest Relations is to your far right as you face the Magic Kingdom gates.
Magic Kingdom guests arriving at the TTC (where the parking lot trams drop off), are expected to buy their tickets there and sometimes need to show the tickets to CM's at gates prior to the monorail and ferry ramps. You should be able to have AP's issued from your AP vouchers there also, especially if you get there early and the express monorail and ferry have not started operation yet.
Guests already at the MK entrance do not have to go to the TTC for tickets.