I'd do the exchange at your local bank before you go. They don't have the funds on hand, so they'll have to order it ... which takes about 3 business days.
They'll hit you a fee, but it's the easiest.
If you have extra money and you're coming home, be sure to blow it at the Airport's duty free. Get some booze or something.
You'll get hammered trying to exchange the foreign funds back into US currency.