Good evening.
How could I express the following idea in a natural way?
If there's no space in the book (i.e. no dotted line where you can write something to do a fill in exercise), please do the exercise in your exercise book (or notebook).
What I mean is: each time a course book doesn't provide in its exercises a space to write something in, students have to deduce that the exercise has to be done (written) in the students' exercise books / notebooks.
Thank you!
I don't completely understand this.
In my education there have often been textbooks and workbooks provided for a course, and everyone is told that they are not supposed to write in textbooks. You do the workbook exercises in the workbook. If there is no workbook, you do the exercises assigned by the teacher on a separate sheet of paper and hand that in when it's due.
I think I would say something like this, holding up the textbook:
This is a textbook. We never write in a textbook. If you are asked to do an exercise from a textbook, you do it on a separate piece of paper, such as in your notebook, and not in the textbook.
You may have to modify the terms in the last part of that. I think your "exercise book" is what I call a "workbook", and I'm not sure what you mean by "notebook", but I think it's just a lot of blank pages bound together. 
CJ
I thought it could be a bit confusing.
A lot of blank pages bound together is what I call exercise book or notebook. To me a workbook is the part of a book that contains exercises.
The exercise numbered 16 has spaces students can write in; the exercise 17 has to be done in an exercise book, as there are no spaces. Some students tend to do exercises like the nr. 17 in the book, using blank spaces where they find them.
I'd like to tell students to avoid doing exercises like the 17-type on the book. They should do them in their exercise books.
I had attached pictures but they haven't appeared.
OK. I misunderstood the situation.
I think you've just said it, more or less, in that explanation. (But I rarely use the word "avoid" with students. It suggests more freedom than might be prudent.)
If it's a fill-in-the-blanks exercise, fill in the blanks in the book.
If no blanks are provided, write your answers in your [exercise book / notebook].
Does that cover it?
CJ