When I first mount I bend his head around the side on both sides whilst standing. It may take a few goes to for him to understand what you want.
Do lots of serpentines, ride a circle and gradually spiral in, then back out again.
You don't really need to do "bending". You bend him all the time while your riding. So if your trail riding and there's an overhanging branch instead of steering him around it like a car bend him around it. You can do this with bushes and rocks or cones in the arena. Just riding him should give you all the bending exercises you need without just working on bending.