Hi, I studied in the U.S. in year 2003 as an exchange student in high school on J-1 visa.
I have been studying on F-1 visa at university since 2007. The only time I filed federal tax returns was 2007 as non-resident alien (I'm not sure if I filed my 8843 in 2007). I made income in 2009 and 2010 but didn't file since the amount earned was so small.
I'm going to work later this year on H-1B.

Do I have to file Form 8843 for all those years including 2003 when I was in high school?

Thanks so much for your help in advance..

Yes, Form 8843 should have been filed for each year. You can go to the IRS website at www.irs.gov and get the form for each year and file them late, which is better than NEVER.

Do not worry about adverse consequences, because there will be NONE.