You should each back up your phones to iCloud or to your respective computers.
Then, follow the instructions here: What to do before you sell, give away, or trade in your iPhone or iPad - Apple Support
Swap the SIM cards or contact your cellular carrier for instructions on how to move service from one to the other.
Once you've both done that, exchange phones. Set them up as you would a new one out of the box, restoring the backup you made in the first step.
This all assumes that the devices are unlocked or otherwise usable on the cellular service you will be on when it's all done.