Expensive? The Bid/Ask spread for EUR-USD is (at the moment I write this) 1.4582-1.4584. Hedging your forex risk can be expensive, but exchange is not.
Since I gather you probably know more about monetary policy than I do, how's this logic for an explanation of the benefit of reserve currency status?
* Things (like oil) on global markets are traded in USD.
* That means countries need to accumulate or exchange for USD in order to buy things.
* This both increases the value of the USD and means the US Government can issue bonds at lower rates than they otherwise could.
[Edit: formatting]
(The market maker captures 0.0002 USD in compensation for the adverse selection risk he takes on.)
The particular dollars being used for these purchases tend to be reused. They flow from the market maker to China, China to Saudi Arabia, and Saudi Arabia back to the market maker. This facilitates the real trade (oil + french wine in exchange for widgets), but is merely a bookkeeping mechanism.
The only person who needs to hold USD is the market maker. They need to hold enough reserves so that normal variation (e.g., today 5 people buy USD, tomorrow only 3 sell) doesn't deplete their supply. I don't know that much about commodities markets, but this probably is a small fraction of all dollars out there.
None of this has anything to do with T-Bills. US bonds have low interest rates because the US government is believed to be highly unlikely to default.
[1] Many countries do accumulate dollars for other purposes. For example, they might accumulate a reserve of stable currencies as a hedge against hyperinflation. Or, as in the case of China, market manipulation.
And that belief stems largely from the status of the US as the sole superpower (at least for now). That's the point I was trying to make. I just didn't do a very good job of it.
I probably should have just picked an example of the US exercising diplomatic power, because that's much more intuitive to me than currency markets are.
(Thanks for patiently correcting me, by the way.)
