All guitarists at every level of ability benefit from finger exercises. They are used as a warm up, they are used to develop strength in the fingers and they are used to develop fluency in playing. They are also useful to highlight any weak areas you may have developed without realising it.
If pain or cramp sets in stop immediately, relax your hand for a couple of minutes and try the exercise later.
Basic Finger Exercise #1 (Strength developer)
Align the 1st finger to 9th fret, on the bottom E string.
Allocate one finger per fret so that the 2nd finger takes care of the 10th fret, the 3rd finger the 11th fret and the 4th finger the 12th fret.
In the following example, use the same 1 2 3 4 3 2 finger pattern on each string:
Move down another fret & repeat.
Continue moving down a fret at a time until you reach the first fret.
1. Make sure the notes sound clean.
2. Allow each note to flow into the next (this is called Legato).
3. Use alternating down / up motion with your plectrum.
4. Use a metronome, slowly at first (60-70 bpm) and then gently increase speed as you get more comfortable.
If you don't have a metronome, visit http://www.metronomeonline.com/