To exchange your links see Koeshu / Thanos the Necromancer in Clan Burial Grounds / Vassals' Tomb.
They will have the following quests available, where you can exchange the links for useful things.
Artful Ritual With Ludial Chain Link
Potion
for
Rage (Magmars)
Cost in Links
1
2
3
Rainbow (Humans)
Powder
Allows removal of Rage / Rainbow from someone else up to the color of the powder.
4
5
Artful Rituals for Warriors
Cuisses
140
300
600