Well, that is an interesting question, isn’t it?
And the answer is Yes and No !
Yes, grammar exercises can be useful because sometimes you need to clarify your ideas and some of the grammar you need is different in your language as compared to English. In these cases grammar exercises can be useful.
No, because although you may get the exercises correct you really need to see grammar in action and in context.
So take a look at the Writing Section to see how you can use grammar in a useful way.
You can also try these exercises from my sister site english-podcasts.com