Some books that teach English come with pages and pages of grammar exercises. Are these helpful? I see that a few exercises are helpful to help you understanding the grammar. However, after that, would it be better to just apply the grammar together with other parts of the language by writing essays, especially when you know more about the language?
I will tackle this questions in two steps: first, findings by researchers and teachers, then an alternative approach.
Grammar Instruction in Isolation Is Not Effective
In 1974, E. Hatch ("Second language learning - universals" in: Working Papers on Bilingualism, 3) made a distinction between "data-gatherers" and "rule-formers". Data-gatherers tend to focus more on the development of fluency rather than accuracy, while rule-formers adopt a more analytic, rule-based approach. A study by Suzanne Graham (Effective Language Learning, 1997) found that problems can arise when a data-gatherer is encouraged to take a more analytical approach to grammar learning (e.g. the German case system). On the other hand, learners who had been categorised as rule-formers later appeared to have developed elements of data-gathering.
There have also been studies comparing grammar courses on the one hand with grammar courses combined with an additional communicative component on the other hand. One such study is: Carol Montgomery & Miriam Eisenstein, 1985: "Reality Revisited: An Experimental Communicative Course in ESL", TESOL Quarterly, 19.2. The researchers found that learners who had the additional communicative module made greater progress in accent, vocabulary, grammar and comprehension than the other group. What's more, the area in which they made the greatest improvement was grammatical accuracy!
In 2001, an article entitled "To Grammar or Not to Grammar: That Is Not the Question!" pointed out that the importance that the public attaches to traditional grammar instruction is based on an incorrect learning theory, i.e. the idea that "if teachers teach something well, students will learn it and, what’s more, will apply it well". However, grammar rules and grammatical analysis do not transfer well to writing and speaking for most learners. Teaching traditional grammar in isolation from writing (or communication in general) is not very effective. Instead, it is more effective to refer to grammatical concepts in response to specific difficulties that learners experience in their writing, and to present examples of effective writing. (This is not an isolated finding. See also, e.g. "Effectively Teaching Grammar: What Works (and What Doesn’t Work)".)
An Alternative Approach to Grammar Exercises
So don't get carried away by grammar exercises madness. It's not a matter of what you feel comfortable doing (cf. the first point in Alicja Z's answer) but what helps you acquire the language.
If you really feel the urge to do grammar exercises, I recommend that you use them in a way that helps you leverage your "data-gathering" (cf. E. Hatch, above). For this, I suggest the following process:
- Do the exercises, then look at the corrections (or discuss them with a tandem partner).
- Then, instead of moving on to the next batch of exercises, take each exercise or sentence that you answered incorrectly or that has a solution that you find unusual, and turn it into a cloze test.
- Enter each cloze test in a spaced repetition system such as Anki or Mnemosyne. (In other words, you turn the grammar exercises into flashcards. You can also do this on paper.) Some sentences can even be turned into more than one cloze test.
- You then review your flashcards on a daily basis. The spaced repetition system will space out the "exercises" in time depending on how easy (or hard) it is for you to solve them.
Note that you will need to "feed" the spaced repetition system with new flashcards every few days. The content does not need to come from grammar books only; you can also use other sources, such as newspaper articles, novels, etc. (And obviously, you can add vocabulary flashcards to the same deck, so you get some variation in your flashcards.)
This way, the grammar exercises become a form of input that leverages your data-gathering abilities. Over time, you acquire the grammar without necessarily learning the rules explicitly.
It all depends on the person. I have a student who feels comfortable doing grammatical exercises, as those are reasonably clear-cut, compared to, say, writing or speaking. Grammar exercises are almost always either correct or incorrect, with little middle ground. On the other hand, for some people, they are simply dreary, boring and can be utterly discouraging.
Grammar exercises are the linguistic equivalent of math drills. Sure, an elementary school student might understand how multiplication works, but solving problem after problem after problem helps him internalize this knowledge so that when he's an adult buying 6 apples, $0.50 each, he doesn't need to think long and hard to know that he'll need to pay $3 at the register. It's the same with grammar exercises: solving problems helps you review and internalize grammatical structures so that you'll be able to automatically use correct language later on.
Keep in mind that grammar drills let you practice structures that may not appear quite as frequently in authentic language. For instance: the French passé simple is a literary tense that is fairly rare nowadays, so you won't come across it too often. To get the same exposure to the passé simple in authentic language as you would working through a single unit in a grammar book, you would probably need to write quite a few texts.
Many exercise types let you focus only on the grammar, and ignore the other things (for instance, vocabulary choice). Again, this is helpful - especially if you are learning a new grammatical structure, or know about your weaknesses / problem areas and want to work on those.
Thanks to the clear-cut quality of grammar exercises, they're also much easier to check on your own, without the help of a teacher or native speaker. This means you can fix much of your grammar on your own, leaving your teacher to help you with the more difficult, somewhat more subjective things.
Jamming a bunch of examples next to each other is helpful (although this might only work for some types of language learners) in that it lets you compare the different uses, note exceptions, and find patterns of your own that make sense to you personally. It's hard to find patterns across 20 pages, but much easier if you have 20 sentences listed on one page.
Doing plenty of grammar exercises also lets you identify problem areas within topics you might think you are already proficient with. For instance, English articles (a/an/the/-) are very difficult for Poles (as Polish has no articles), but there comes a time (fairly late in the game, admittedly) when a Polish learner of English thinks he has mastered the article. Working through a set of exercises will help identify specific instances of misuse within a topic that is, overall, generally no longer problematic.
All that being said - grammar exercises are not the be all and end all. One only truly knows a language if they can use all of its aspects (vocabulary, grammar, pronounce, spelling, idioms, etc) together. Grammar is just one of several building blocks, and grammar exercises simply help you make sure that that block is as solid as it can be before you build the rest of your structure on it.
I'd say that you should study as much grammar as you need to learn the language.
For some people, who have little foundation in grammar (in their own language), or who speak a very different language from English such as Chinese, grammar training is important to mastering a new language.
For others, who have a good grammatical foundation in a European language related to English, maybe only "a few exercises are helpful to help you understanding the grammar." Those people might do well by "practicing" in the form of writing essays.
Grammar is a good thing to learn, but I realized that most of the time, if you want to use a language, you should not only focus on grammar. It is better to start using the language and to make mistakes because, in my opinion, the more you linger on learning, the less you speak the language. A language needs to be lived to condition your brain to its grammatical structure.