Im replacing my limit switch which is located in the heat exchanger. What does a high limit switch actually do? Thanks.

The high limit switch is a safety device to prevent the unit from overheating.
It should only be replaced with a like same unit of the same temperature. You might check to make sure your blower works well and the filter is clean. Also make sure all the registers in the home are open. I mentioned this because usually there is a reason for this part to become defective and the above are a few examples of items that will cause a failure of the high limit switch.

I agree with hvac1000. You rarely see a high limit switch go bad. If the limit is faulting out during operation of the furnace and then resetting I would look for air flow restriction in the system. It can be an easy fix such as dust build up in the cups of the blower wheel not letting it move the air it needs to. Check twice before replacing parts. Good luck.