Are you dealing with the Apple Online Store, or with Apple Technical Support/warranty claims? (If the replacement you received just included the phone, probably the latter; if you got a new shrinkwrap box replacement with all new accessories, then I'm sure the former.)
I've never dealt with the Online Store as far as exchanges go, so I can't help you there, but if the replacement came from warranty claims, I would check any printed instructions that came with the replacement...it's possible you missed them and/or are misunderstanding them and the telephone reps you have been speaking with.
(Mind you that what I'm about to tell you is true in the U.S. and that I don't know how Apple may operate outside of the U.S.)
Whenever I have had to deal with a warranty replacement situation with iPhone, I have been given 2 options: standard service, or express service (otherwise known as "advance replacement"). With standard service, you ship them your old phone *first*, and then they ship the replacement out after they get it and have had a chance to inspect it. With express service, they will ship you the replacement first so that you are never without a phone. This service costs $30 per event unless you have AppleCare, in which case it is complementary. Also, in addition to the $30 (which is non-recoverable), Apple will put a hold on your credit card in the amount of the full retail price of the iPhone model that is being serviced, in case you don't follow through with returning the old phone.
When I've used the standard service, Apple just tells me to take the phone down to my local UPS Store. Apple has an agreement with UPS where you can just drop the phone off to them, you give UPS the RMA#, and they'll even box the phone up for you, and then ship it off to Apple on Apple's dime. Pretty convenient.
In every instance where I have opted for express service, the box that they ship me the replacement phone in is the same box that they want me to use to ship the old phone back in. There will be a pre-paid return label already attached to the box, and they (typically) use FedEx for both the shipping and return shipping. I typically just take the box down to my local FedEx Kinkos center after I've got the old phone bundled up in there and drop it off as I've found that's the easiest way to get it back to them (especially since it's close to where I work). You *can* schedule a pick-up with FedEx, and it won't cost you anything extra, but doing so *is your direct responsibility* if that's the way you want to go; Apple's not going to schedule the pick-up for you.
When using express service, you need to be aware that you have a *very* limited amount of time to return the old phone to them before the hold charge they placed on your credit card becomes permanent. I want to say this is somewhere between 3-7 days, if that! So if it has been 4 whole weeks, you might be out of luck by this point!
So call Apple again, read every scrap of paper that came with the replacement phone, and make sure your understanding of the situation is correct, because the way you say they are handling your case is like nothing I've ever either heard of them doing or experienced myself...
-- Nathan