How To Conduct In-Person Exit Interviews

Have exit interviews done by a third party (HR or other) and not with the supervisor in attendance. The goal is to get honest communication. The plusses AND the minuses. With the Supervisor in attendance, chances are slim that the exiting employee will speak up on any important issues.
Conduct exit interviews for areas/departments where you "smell" trouble. If there happens to be a lot of turnover in one area, that's a red-flag to start exit interviewing ALL departing employees from that area. (You may want to even interview non-departing employees as well.)
Have questions pre-planned. You should have a standard list of questions that you ask on each exit interview. Find out what they liked best and least, how they would rate their supervisor, the compensation, benefits, etc. Give them the opportunity to offer suggestions for improvement.
Take information received seriously, but with a grain of salt. Don't allow one negative employee to disrupt your whole organization. Look for patterns in exit interview responses. Share the information tactfully with Supervisors. Make action plans to verify serious issues. Work on improving the negatives.
Don't let the ex-employee go on and on and on. The exit interview should take 15-20 minutes. You don't get any more info by hearing the employee whine about every last detail. Just like an employment interview, learn how to get the information that you need, and send them on their way.
Thank them for their service. One small step that you can make on behalf of your company is to thank them for what they have done during their employment. Many employees are never thanked. It means a lot.