I've never been.
I've just been looking it up, and it's only about 130-150 polling stations across the country, and they are chosen to be a good mix of demographics; it seems to be getting more accurate over the years. They use the same stations mostly, as it helps adjust the algorithms when they compare how they did to the results. I don't know where the stations they use are, though.
Apparently you get asked to fill in a replica ballot and to post it in a ballot box, to try to get the most accurate results possible. I guess they must be counting them all day though to be able to crunch the numbers and make an announcement right at 10!
I wonder if most people would take part when asked. I would, as I'm not rushed for time.
I guess there are likely also other less official exit polls as well, where various outlets can ask people if they want. I don't think I've been asked in this way, either.