I am a student working in the US on a J1 Visa. I filed the forms for exemption from OASDI and Medicare taxes with my employer but these exemptions weren't put into effect until well into my work period. How do I get back the deductions that they have already withheld? The same thing happened with state taxes but I assume I can file for a refund at the end of the fiscal year for that.

Thanks!

Your J1 income is subject to federal income tax and state taxes.
For 2-years you are exempt from SS tax and Medicare tax. Ask your employer to refund SS tax and Medicare tax. You can attach a copy of page 48 of IRS Publication 519: Tax for Aliens.  (Read Social Security and Medicare Tax-- Students and Exchange Visitors.
Employer can still return SS tax and Medicare tax for 2009.

If you do not get from the employer, you need to file Form 843. Your U.S. Tax Return: Social Security and Medicare (FICA) Taxes for Non-resident Exempt Individual