They need to make artifacts, like programs, databases, and lab reports. They might also finish artifacts. This happens with fading worked examples. Authors start with a complete worked example. Then they give students another one, with the last step missing. The students' task is to finish the artifact.
When we're talking about exercises here, we're talking about tasks like making artifacts. We're not talking about multiple-choice questions (MCQs). There's nothing wrong with MCQs. They're useful for activating prior knowledge, diagnosing misconceptions, testing fact recall, and other things. There is an MCQ learning object type in Skilling, and you should use it. However, MCQs are not enough by themselves. To learn skills, students have to make things, and turn them in.