Practice test-driven development. That is your first exercise. It's easier to do this if you're starting a new project, but if you have existing code you need to work on, you can start by writing tests for each new feature you implement. This can become frustrating as you become more enamored with automated tests. The old, untested code will start to feel rigid and tightly coupled, and will become uncomfortable to maintain; you'll start feeling like changes you make are breaking the code and you have no way of knowing, for lack of tests. But if you start small, adding tests will improve, the codebase improves over time.
So to get your feet wet with test-driven development, start a fresh project. Once you've started to appreciate the benefits (you will) and realize that the time spent writing tests is quickly regained in terms of more maintainable code, you'll want to start writing tests for existing code. This is when you should start doing it, not before. Writing tests for code...
