How to approach my supervisor when I've finished the task he assigned early?
Just talk to your advisor when you feel you need his input. 

All of the busy people I know (myself included) want the people they work with to let them know if things are ahead of schedule. When I supervise a student, someone has to be moving things along. If the student takes responsibility for that, and can be counted on to come to me when he/she needs my input, it's much less work for me than the students I have to monitor more actively.

Having said that, there are several things that can also help:


Ask your supervisor to discuss the "big picture" with you. This way you'll understand what these small tasks are getting at and can make a reasonable guess as to what the next task will be. This will help with your problem and will also help you develop your skills as an independent researcher (which is what you're training for, after all).
Develop your own research interests (either side projects, or related to the work you're doing with your advisor) and work on those when you're "blocked" waiting for your advisor. This, too, will also help you develop your skills as an independent researcher.