Keeping your coins in a desktop wallet is better and safer because they are on your own hands. An online wallet could be hacked, an exchange wallet also could be hacked or the owner can close it any time. Keeping your coins in a desktop wallet is safest. Here are the details: https://youtu.be/E0AeLOvNPgg and https://youtu.be/kcbTLBwtb8I (the only risk is your computer to crack, so don't forget to back-up your wallet, you can restore it any time if you have your back-up saved)