How to approach my supervisor when I've finished the task he assigned early? Given that it's a very broad question I'll try to create some context:

I'm in my first year (just started) and at the moment my task as PhD student is closer to learn the techniques and technologies used in the department than to real work. Almost in a weekly basis I receive small tasks which, once completed, are reported and then substituted by a new small task.

However, sometimes the task is completed and no report is due (for whatever the reason) so I'm stuck with no excuse to go to my supervisor's office and no work to do on account of not going to my supervisor's office.

My supervisor is a very busy person and so I have always the feeling I'm intruding when I 'request' (by mail or simply going to his office) to talk to him. 

I would like to build some cofidence with my supervisor, but I don't really know how to approach him in the first place. Any tips?

Ps:I was sure someone would've asked this before, but I couldn't find anything so I would like to apologise in advance just in case it has already been asked.
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.