Here the most important thing is practice. You will usually have an hour to write exam essays, which will usually mean that you will not be able to write as much as for a supervision essay. It is difficult to write more than about 800-1,000 words in an hour, and this varies massively depending on your writing speed and style. (Less is sometimes more.)
During the holidays, it's good to get your supervisor to set you practice questions, or to take one from a past or specimen exam paper. Try to complete these in the time available.
You won't be expected to give page numbers for references or to provide a bibliography when writing under exam conditions, though it's useful at least to give the name of the author and ideally the year, especially when citing important studies or theoretical viewpoints.