You can store them at Iconomi's. However, if you bought them at EtherDelta, you should be able to send them to your MEW. BLX is a ERC20 token.
And what happens if you've bought your BLX tokens immediately on iconomi's website? I've invested a few hundred dollars on their platform for curiosity and I've never really took time to understand how it really works. Not enough time to dig deeply in all of the corners of the crypto world after my office work !