My colleague made me happy when he described an easy procedure how to import Exchange cmdlets into PowerShell ISE so let me share it here.

1. Connect to an Exchange server, run Exchange Management Shell and find folder location for Exchange cmdlets by Get-Module and path property.
   
2. Copy the folder to C:\Windows\System32\WindowsPowerShell\v1.0\Modules on your local PC
3. Restart PowerShell ISE