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I've got a dozen of addresses (+private keys) with very small amounts on them (0.001 to 0.01 btc). I found many hints and suggestion like this one but I cannot realize how to implement this. Can anybody tell which way I can aggregate those addresses in order to send their total to an exchange?

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The only way to "aggregate addresses" is to create a Bitcoin transaction which spends all of the coins from those addresses to another one. Of course if you just want to send to an exchange, just send all of your coins to an exchange as aggregating will incur an additional transaction and thus transaction fees. Most wallets have some function which allows you to send all of your coins, so just use that to create a transaction which sends all of your coins to the exchange.

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