Yes it is really adviceble to always withdraw your earnings to your wallet for safety purpose because anytime, anything could really happen so you better be safe for your self than sorry.
I have a few bitcoins in the exchange for doing the trade. I trade the bitcoin with other altcoins such as Ethereum or Dash. Most of my coins are in my own wallet.
Thats good sir only put some of those altcoins that you can always afford to lose. Whats worst is that most of the traders do actually do a mass transferring of their profits because of the fees so this may lead to a painful lose if ever.