Is this a good idea for our exit?

yeah, it's definitely different! If you're having a fun, casual wedding I think that would work, but if your wedding is elegant and formal, it may look a bit tacky. I guess I'd have to see it in person.. but I always ociate glo sticks with raves and concerts. Are you the same person asking for a different idea to sparklers? because I think those would look fantastic... but if you want something different then what about lanterns? you could do paper lanterns with those flickering battery powered tealights inside to create a very soft glowy effect...(also kidsafe) or for something with more WOW factor what about those tiny LED flashing lights that are magnets? you could try to get creative with those!