"Methodical exercises" is correct, but "methodological exercises" is more commonly used.

See http://www.answers.com/methodological?cat=health - usage note:
Methodological seems to have acquired the meaning of "pertaining to methods" because people had already been using the more ordinary adjective methodical to mean "orderly, systematic."

Example:
Exercises in Demographic Methods & Cross-national Comparison (30% of final grade)
Students are required to complete 6 methodological exercises over the course of the semester. These exercises will require that students put into practice the interpretation, calculation, and application of demographic methods described in lectures and the text.
https://evals.ugs.utah.edu/uploadedFiles/Syllabus Sociology ...