I'll be storing mine in a wallet just to be safe. I used to store on exchanges but I feel it gets riskier and riskier everyday.
It does get risky. I have had that coinpw website take some of my coins when they shut down. I can't remember if they were called coinpw, I think that is what it was. Also MTGOX + BTC-E got hold of some of the coins I used to have there and I had to take a hit withdrawing the ETH I had there because the government seized a bunch of people's coins.
That can't happen if you have your own coins on your own wallet and own the private keys.
Every hardfork and even all the markets do not seem to panic and are very confident doing promotional split coins, so I assume they are safe to use, if you do not want to face the risk, then blockchain remains the best choice because no negative statements ever happened. They even plan to install bitcoingold wallet for users.
It is pretty easy to split the coins yourself though and you have no risk.
I have done it myself for my bitcoin split into bitcoin cash. I found a guide and read through it, watched a video and saw how it was done.
Having anything on an exchange you are risking losing your coins. Almost every exchange out there has lost funds due to government seizing coins or been hacked in some way. Take this from someone who had BTC-E coins lost due to govt taking them away and BTC-E gave us tokens to reimburse us. Those tokens right now are only worth 50% of what I actually had. MTGOX lost everything. Bitfinex was hacked awhile back and had to do the same thing BTC-E is doing with giving out tokens. Coinexpw is gone. Many others have had issues too.
https://bitcointalk.org/index.php?topic=265277.msg5769484#msg5769484