How do I unlink iPhone from Exchange Active Sync without loosing Contacts

You don't or can't.

Disabling over the air syncing for contact info with an Exchange or MobileMe account or deleting the account from the iPhone deletes the contacts from the iPhone - just as when enabling over the air syncing for an Exchange or MM account on an iPhone erases all existing contact info and replaces it with the online contact info for the account - with what is available at the server for the account.

Contact info is included with your iPhone's backup which is updated if needed as the very first step during the sync process with iTunes, but so are email accounts. When restoring your iPhone from your iPhone's backup, the email account setup info will be restored with it. You can try syncing your iPhone with iTunes followed by restoring your iPhone from your iPhone's backup. After confirming contact info is available on your iPhone - if so didn't come from the Exchange server, follow this by deleting the Exchange account which shouldn't delete the contact info from your iPhone.

I had the same thing happen so I do not turn on corporate contacts. I use Itunes SYNC for that.