I've been thinking of putting a heat exchanger on the exhaust and attaching the air intake to it so the air wont be so cold going through the water to the fire box, anyone think this would work?

 My first reaction is that it would prbably be a near constant maintenance issue. The exhaust temp is already about as close to condensing as you want to run. if you take it down even further going actoss whatever type of HX you would use you will likely have water, very dirty and corrrosive water dripping off the thing.  My second thought(s) is that math wise there are not a lot of btu's to be gained there. If you have 300 cfm of exhaust flow and manage to drop it down another 50* you have pulled only 15,000 btu's from it. 

 terry, I have tried it with a wound copper coil inside the class a flue, first off the flue temp is not high enough as steve points out to extract meaningful heat, but mainly it creates too much back pressure, resulting in a poor fire. if you are interested in more effiency by lowering the flue temp, google fuel effiency llc. in new york. they have designed turbulators for fire tube boilers, and have some good information.