Sometimes you do have to use currency exchange locations, but it is always best to shop around. If there’s only a couple in the airport, then likely the rates will not be very good and it is best to change only a little money. Usually lots of different exchange locations means competition and good rates. You always get better rates for major currencies.
Almost always the US Dollar exchange rate will be best. Here in Nagpur Or nearby Nagpur airport you will get better rates for AED (United Arab Emirates Dirham), THB (Thai Bath), SAR (Saudi Rial). Anything else, including Yen, British Pounds, Canadian Dollars, Australian Dollars, etc will fetch an inferior rate. Anything even more obscure will not be worth changing, so make sure that if you are going to change to have US Dollars, AED (United Arab Emirates Dirham), THB (Thai Bath), SAR (Saudi Rial
Next, and very important: New US Dollars are the best. If you withdraw from any ATM in India/Nagpur then suggest you to carry receipt of that ATM slip. It will be useful & mandatory (for above INR10000) to reconvert your unspent money into dollars (Or your home country currency).