Can you use an exchange as your wallet address right off the start or do you have to use their wallet to receive an airdrop?
It's not advisable to use the wallet address from an exchange. We don't know if exchanges move them and might reflect in the block explorer. When bots will see that movement, you might get banned. So it is advisable to use the QT wallet in your computer or use the paperwallet which is now available for anyone to choose from.
If you want the QT wallet, you can download it here
https://deeponion.org/index.php#downloadyou got choice of windows wallet, linux wallet, and mac wallet.
If you want the paper wallet, a generator is here
http://178.238.232.141:8080/paperwallet/