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how to exercise the little finger?

In my opinion, the best way to strengthen that pinky is through proper technique. "Strength" in bass playing is structural, not muscular. It is about keeping your hands relaxed and applying proper leverage.

One of the best exercises to practice good leverage and relaxation is to play lots and lots of octaves. For example, next time you practice your 12 major scales, play them as octaves instead of single notes. Use your 1st finger for the root and 4th finger for the octave.
 
Simply embrace using it as much as possible. I've always been amused at how guitarists / bass guitarists avoid using it.

I guess, it's a bit hard for me fully understand because I had classical guitar lessons when I was younger. Anyway just do chromatic runs and get that pinky finger moving!

if you want really get that chromatic riff going, think "Chameleon" By Herbie Hancock:

 
Funny. I have the exact opposite issue. I played an old bass for years professionally. I had to use my ring finger over my little finger to prevent ret buzz. Now twenty years later, I have good quality instruments but cants shake the habit.