The other thing to look out for is counterfeits as these are all over the place, especially in the form of one hundred dollar bills. The best thing to do is to take a trusted Korean friend with you and get him or her to make the transaction for you. They will get a better rate than any foreigner, but only marginally. Have them tell the Ajuma that they are a student going to Australia, these women are under the impression that the authorities in Oz have much tighter controls over counterfeits and maybe less likely to pass over forgeries. Like the tiny writing that surrounds Ben Franklin and other things that give forgeries away.
Australian currency is far harder to forge.
They will usually change a few thousand dollars at a time into cheques, if you do not want to carry cash for the rest of your travels. Some Korean banks provide travellers cheques as a free service to their customers, so if you are heading straight home and do not need the convenience of an international name such as AMEX, then this may be worth looking into. Opening a bank account is relatively easy. I only ever used my account for transferring money in from abroad and would be very wary of putting any significant amount into such a restricted banking system. Maybe I am just paranoid.