As my Nanna always used to say, if it sounds too good to be true, it usually is...and so it is with SEO and in particular, link building...
I'd like you to visit this page...
http://www.searchengineoptimisationworks.com.au/seo-tools-tips/choose-best-seo-company/ (link deliberatley removed by me - just copy and paste)
...and then this one...
http://www.searchengineoptimisationworks.com.au/seo-tools-tips/link-building-strategies/ (also removed - this ain't the place for gratuitous links)
The first lists some helpful questions you should have asked your SEO company before appointing them and the second lists a range of alternative link methods...a few key directories such as the ones you can find here on SEOmoz...
http://www.seomoz.org/dp/seo-directory
...can be helpful...
But yes, your "gut feel" is correct, they should be identifying unique, one-way incoming link opportunities from a small number of quality sources. SEORoyal is quite right...stop now before they do some real damage...and when you start looking for your next SEO company, use the above checklist and ask to speak to client references.
Hope that helps!
KP