Go to Santa Fe and Florida (where the street starts) and you can walk down it and hear people saying "cambio, cambio" all up and down it. They will take you to a small place off the street (could be a t-shirt shop, a "tourist" agency, etc) to do the actual deal.
Go armed with what you think the rate should be. I use www.dolarblue.net and take one of the first two rows in the table (usually doesn't matter which) and get the average of the buy/sell prices and take 10 centavos off the average. That should be your target under most circumstances. The more you change, the closer to that rate you'll get, usually $1000 USD being a break point for better prices (but maybe not much more than 5 centavos or so). If you don't like the price you get from one guy, go to the next. If you get a bunch of the same price, you've discovered what they're actually selling for - sometimes they won't get to the average if something's going on, like the price falling through the floor last week, for example.
It's safe - I've seen a number of people talk about how they feel it's not safe, but there are federal police officers in the area providing vigilance for just this business (they are paid by the arbolitos and the cuevas, the places that change the money). I've never gotten a false bill that I know of (another suspicion that others mention).
I've been doing this for 8 years now and never had an incident, nor do I know of anyone who has.
