I have filed exempt , when I am allowed , for many years. You must file the W-4 between Jan 1 and Feb 15 and you must file a new W-4 annually. If you file beyond the time limit you are automatically set to Single with no dependents. In the last 10 years we have had a total of $5 in FITW withheld and we received a full refund. The only income based tax we pay is Social Security but that is unavoidable.
In the last 20 years we have paid about $1,000 in Income Taxes and that has been offset by the Stimulus money that we have received.