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.
That makes sense. A deposit or withdrawl on an Exchange normally takes a few minutes. There is no reason to leave large sums of coins on an Exchange. Better to store them in an online or Desktop wallet.